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An Introduction to Exotic Option Pricing
Paperback
Series: Chapman & Hall/CRC Financial Mathematics
Investing & FinanceProbability & Statistics
ISBN13: 9780367381721
Publisher: CRC Press
Published: Sep 5 2019
Pages: 296
Weight: 0.90
Height: 0.70 Width: 6.10 Depth: 9.10
Language: English
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 The author incorporates a significant amount of original, previously unpublished material, such as the use of log-volutions and Mellin transforms to solve the Black-Scholes PDE.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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