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Title: The Complete Guide to Option Pricing Formulas by Espen Gaarder Haug ISBN: 0-7863-1240-8 Publisher: McGraw-Hill Trade Pub. Date: 01 September, 1997 Format: Hardcover Volumes: 1 List Price(USD): $55.00 |
Average Customer Rating: 4.05 (22 reviews)
Rating: 5
Summary: A cookbook for the quantitative options trader
Comment: 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: 5
Summary: Option Pricing using Excel VBA
Comment: If you are looking for a book on option pricing using Excel VBA, there is no alternative to that book. Haug succeeded in writing an exciting book the most common options, the way of pricing them AND providin all the Excel VBA formulas. A fantastic book to get started with option pricing covering:
Plain Vanilla Options (B&S, Option sensitivities etc.) Exotic Options (loads of exotics covered) Numerical Methods in Option Pricing (incl implied trinom tree) Interest Rate Options (Hull, Ho, White etc.) Volatility and Correlation (histor vol, implied vol) Some Useful Formulas (interpolation) Distributions
It's a fantastic book for the serious student who does want to understand the Excel VBA formulas. The disk is very useful and allows to see the formulas in more detail. Mathematical level? I would boldly claim that you get 80% of the book without having an idea about calculus. That makes the book very readable (Wilmott & co are the real quant's!). Haug gets successfully around the heavy calculus / PDE stuff. Bravo!
Rating: 1
Summary: Numerous technical mistakes
Comment: 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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Title: Advanced modelling in finance using Excel and VBA by Mary Jackson, Mike Staunton ISBN: 0471499226 Publisher: John Wiley & Sons Pub. Date: 30 May, 2001 List Price(USD): $75.00 |
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Title: Option Volatility & Pricing: Advanced Trading Strategies and Techniques by Sheldon Natenberg ISBN: 155738486X Publisher: McGraw-Hill Trade Pub. Date: 01 August, 1994 List Price(USD): $59.95 |
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Title: Options, Futures, and Other Derivatives (5th Edition) by John C. Hull ISBN: 0130090565 Publisher: Prentice Hall Pub. Date: 03 July, 2002 List Price(USD): $141.00 |
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Title: Dynamic Hedging : Managing Vanilla and Exotic Options by Nassim Nicholas Taleb ISBN: 0471152803 Publisher: John Wiley & Sons Pub. Date: 20 December, 1996 List Price(USD): $95.00 |
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Title: Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance by Domingo Tavella ISBN: 0471394475 Publisher: John Wiley & Sons Pub. Date: 19 April, 2002 List Price(USD): $85.00 |
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