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The Complete Guide to Option Pricing Formulas
ISBN: 0786312408     Date Published: 1997-09-01     Author(s): Espen Gaardner Haug
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232 Pages
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06/20/2013 01:31:00
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Editorial Review - Book Description:
When pricing options in todays fast-action markets, you need quick access to precise facts and market-tested information. The Complete Guide to Options Pricing Formulas is the only authoritative, comprehensive reference to make the necessary set of option pricing tools available in one place. This invaluable reference work, which includes valuable software and ready-to-use programming code to enhance your understanding of the options pricing models discussed and their practical implementations, also gives you a complete listing of key options formulas, all in a dictionary format for ease of use; commentary from derivatives expert and author Espen Gaarder Haug that explains key points in the most important and useful formulas; practitioner-oriented formulas, and highlights of the latest options pricing research from major institutions worldwide; and much more! Invaluable for both experienced users and those learning how to use the tools of valuation, The Complete Guide to Options Pricing Formulas is the first and only book to place all of the research and information you need at your fingertips with precise directions on maximizing its real-world value.
Customer Review:
Total Reviews: (38)
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53 of 58 People found the following review helpful.

Nice idea, but MANY errors, July 27, 2004 BySteve (Chicago, IL United States) - See all my reviews Amazon Verified Purchase(What's this?) This review is from: The Complete Guide to Option Pricing Formulas (Hardcover) This book is the "standard" for providing straightforward code demonstrating various options pricing techniques, and perhaps deservedly so -- after all, it really doesn't have too many competitors in that niche. However, even in the course of the fairly straightforward applications I've had for this book (mostly simple equity Cox-Ross and Black-Scholes modeling), I've been shocked by the number of blatant mathematical errors (in the formulas for rho with distinct carry and risk-free rates, for instance). Clearly, the author and editors didn't bother to spend much time verifying that the formulas they cite are actually correct. (I'm actually shocked to see a fellow reviewer praise the "proofreading" -- I'm guessing he or she never actually had to use any of the formulas in this book!) Bottom line -- if you're looking for a handy, compact reference of option pricing formulas, this is probably what you'll end up with. But be careful. It is SO frustrating...
19 of 20 People found the following review helpful.

A cookbook for the quantitative options trader, January 30, 1999 By A Customer This review is from: The Complete Guide to Option Pricing Formulas (Hardcover) Have you ever wished someone took all the significant option formulas of the last 25 years and packed them into one volume? Is your calculus rusty? How about putting the formulas into Visual Basic so they can be employed directly in Microsoft Excel spreadsheets or Access databases. This is the main appeal of Option Pricing Formulas, which fills a void in current option literature. As option players became more computer literate an anthology of coded option theory was clearly needed. The book covers everything from the tried and true Black Scholes and Cox/ Rubenstein formulas to the more exotic worlds of barrier and currency translated options. Software is included with the Visual Basic code as well as preprogrammed Excel files. Think of it as a cookbook for the technically oriented option trader.
48 of 57 People found the following review helpful.

Numerous technical mistakes, December 2, 2003 ByGalileo Galilei (Frostbite Falls, MN USA) - See all my reviews This review is from: The Complete Guide to Option Pricing Formulas (Hardcover) I have reviewed many of the formulas in several sections of this book and have found a number of mistakes. As a result, I can trust no formula from the book without reviewing the literature or some other source. The author does not use consistent terminology throughout the book. Rather, the terminology of the original journal article is used for each pricing model. This makes referring to the articles convenient, but then you don't need the book if you're going to the source...I have used few of the computer programs offered, but the ones that I have used have had terrible inefficiencies. For example, a bisectional iterative search was used, which is very simple to write but is also very inefficient. There are many other simple and more efficient alternatives.
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