The Volatility Smile
The Black-Scholes-Merton option model was the greatest innovation of twentieth century finance, and remains the most widely applied theory in all of finance. Nevertheless, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatility against strike will typically display a curve or smile, which the model cannot explain. Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new ideas and models that try to reconcile theory with markets. Beginning with the principles of financial valuation, The Volatility Smile presents a unique and unified treatment of…
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Produktdetails
Weitere Autoren: Miller, Michael B. / Park, David
- ISBN: 978-1-118-95918-3
- EAN: 9781118959183
- Produktnummer: 20662630
- Verlag: John Wiley & Sons
- Sprache: Englisch
- Erscheinungsjahr: 2016
- Seitenangabe: 528 S.
- Plattform: EPUB
- Masse: 9'676 KB
- Auflage: 1. Auflage
Über den Autor
EMANUEL DERMAN is a professor at Columbia University, where he directs its financial engineering program. He is the author of My Life as a Quant and Models.Behaving.Badly. MICHAEL B. MILLER is the founder and CEO of Northstar Risk Corp. He is the author of Mathematics and Statistics for Financial Risk Management, Second Edition.
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