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Option Trading "Pricing And Volatility Strategies And Techniques"

Pricing And Volatility Strategies And Techniques

Option Trading "Pricing And Volatility Strategies And Techniques". Pricing And Volatility Strategies And Techniques

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  • ISBN:9780470497104
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:398
  • Idiomas:Ingles,Inglés

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An A to Z options trading guide for the new millennium and the new economy. Written by professional trader and quantitative analyst Euan Sinclair, "Option Trading" is a comprehensive guide to this discipline covering everything from historical background, contract types, and market structure to volatility measurement, forecasting, and hedging techniques. This comprehensive guide presents the detail and practical information that professional option traders need, whether they're using options to hedge, manage money, arbitrage, or engage in structured finance deals. It contains information essential to anyone in this field, including option pricing and price forecasting, the Greeks, implied volatility, volatility measurement and forecasting, and specific option strategies. The key features of the book include: explains how to break down a typical position, and repair positions; other titles by Sinclair: "Volatility Trading"; and addresses the various concerns of the professional options trader. Option trading will continue to be an important part of the financial landscape. This book will show you how to make the most of these profitable products, no matter what the market does.

Preface
Professional Trading
The Role of Mathematics
The Structure of this Book
Acknowledgments
Chapter 1 History 1
Summary 6
Chapter 2 Introduction to Options 7
Options 9
Specifications for an Option Contract 9
Uses of Options 11
Market Structure 14
Summary 20
Chapter 3 Arbitrage Bounds for Option Prices 21
American Options Compared to European Options 25
Absolute Maximum and Minimum Values 25
Summary 39
Chapter 4 Pricing Models 41
General Modeling Principles 42
Choice of Dependent Variables 45
The Binomial Model 48
The Black-Scholes-Merton (BSM) Model 55
Summary 61
Chapter 5 The Solution of the Black-Scholes-Merton (BSM) Equation 63
Delta 67
Gamma 72
Theta 76
Vega 80
Summary 88
Chapter 6 Option Strategies 89
Forecasting and Strategy Selection 89

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