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An Introduction to Exotic Option Pricing|Peter Buchen

An Introduction to Exotic Option Pricing

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Overview

In an easy-to-understand, nontechnical yet mathematically elegant manner, this book shows how to price exotic options, including complex ones, without performing complicated integrations or formally solving PDEs. It develops special pricing techniques based on the no-arbitrage principle and fully derives every price formula for the exotic options. The author incorporates a significant amount of original, previously unpublished material, such as the use of log-volutions and Mellin transforms to solve the Black-Scholes PDE. He also demystifies many esoteric issues underpinning the mathematical treatment of the subject.

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Details

  • ISBN-13: 9780367381721
  • ISBN-10: 0367381729
  • Publisher: CRC Press
  • Publish Date: September 2019
  • Dimensions: 9.1 x 6.1 x 0.7 inches
  • Shipping Weight: 0.9 pounds
  • Page Count: 296

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