Option Pricing Basics
Summary of topic
This page discusses option pricing models, which are useful background knowledge for actuaries pricing modern investment guarantees etc…
Those working on the topic
Declan Lavelle - declanlavelle@hld.ie
Getting Started
The theoretical underpinning of Modern Option Pricing is the work done by Black, Scholes and Merton in the early seventies
However in practice option pricing can easily be implemented in a spreadsheet (see Cox Ross and Rubinstein below)
Some Useful Option Pricing Resources
- American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods by Broadie and Detemple
- Some of the history about how option pricing has been used (and mis-used) is really well described in Infectious Greed, by Frank Partnoy.
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Comments (2)
Anonymous said
at 3:09 pm on Sep 8, 2006
Some of the history about how option pricing has been used (and mis-used) is really well described in Infectious Greed, by Frank Partnoy. http://books.global-investor.com/books/15743.htm?ginPtrCode=00000&identifier=
Anonymous said
at 1:43 pm on Oct 12, 2006
moved this to the front page so it doesn't get lost!
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