Research Catalog
Option pricing models and volatility using Excel-VBA
- Title
- Option pricing models and volatility using Excel-VBA / Fabrice Douglas Rouah, Gregory Vainberg.
- Author
- Rouah, Fabrice, 1964-
- Publication
- Hoboken, N.J. : John Wiley & Sons, c2007.
- Supplementary Content
Available Online
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2 Items
| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
Available - Can be used on site. Please visit New York Public Library - Schwarzman Building to submit a request in person. | Text | Use in library | JBE 07-1184 [Book] | Schwarzman Building - General Research Room 315 |
| Text | Request in advance | *WSC-5680 | Offsite |
Details
- Additional Authors
- Vainberg, Gregory, 1978-
- Description
- xi, 441 p. : ill.; 24 cm. +
- Series Statement
- Wiley finance
- Uniform Title
- Wiley finance series.
- Subject
- Bibliography (note)
- Includes bibliographical references (p. 409-412) and index.
- Contents
- Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns.
- Call Number
- JBE 07-1184
- ISBN
- 9780471794646 (paper/cd-rom)
- 0471794643 (paper/cd-rom)
- LCCN
- 2006031250
- OCLC
- 71800572
- Author
- Rouah, Fabrice, 1964-
- Title
- Option pricing models and volatility using Excel-VBA / Fabrice Douglas Rouah, Gregory Vainberg.
- Imprint
- Hoboken, N.J. : John Wiley & Sons, c2007.
- Series
- Wiley financeWiley finance series.
- Bibliography
- Includes bibliographical references (p. 409-412) and index.
- Connect to:
- Added Author
- Vainberg, Gregory, 1978-
- Research Call Number
- JBE 07-1184 [Text]*WSC-5680 [CD-ROM]