The Complete Guide to Option Pricing Formulas
Author: Espen Gaarder Haug
List Price: $55.00
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ISBN: 0786312408
Publisher: McGraw-Hill Trade (01 September, 1997)
Sales Rank: 22,972
Average Customer Rating: 4.05 out of 5
Customer Reviews
Rating: 5 out of 5
The bible in option pricing
This book is a genious in the making. I myself have lots of notes on option formulas, however, this book represents what I've wanted to put together for a long time now. These formulas are also the closest I've seen to how the street actually prices options.============================== Please don't post this section: ============================== Amazon - how can I get in touch with the author? I have written all these pricing formulas in Javascript, I need to know if this is ok.. Pls help
Rating: 5 out of 5
A cookbook for the quantitative options trader
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.
Rating: 1 out of 5
Numerous technical mistakes
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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