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The Complete Guide to Option Pricing Formulas Hardcover – September 1, 1997
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Top Customer Reviews
Bottom line -- if you're looking for a handy, compact reference of option pricing formulas, this is probably what you'll end up with. But be careful. It is SO frustrating to spend hours trying to figure out where you made a mistake in implementing one of these models, only to learn that you DIDN'T make a mistake -- the mistake was in your source. Consider yourself warned...
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.
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.
I sulked at the thought of (if not dreaded) going back to calculus and all those math-heavy thingies, but among my searches I found this book. It sounded best because rather than a lot of historical and theoretical jazz alone, I wanted to see a compilation of the actual formulae. Believe me, JUST GET IT!!
1. This book gives me all of the above in one neat capsule form! All the introductory derivatives stuff i read sounded like "And derivates can be of the type options, futures etc". That 'etc' always bothered me because I wanted something which told me ALL types of derivatives. This book does it - at least MOST of it. It has BlackScholes, binomials, also has an excellent section on Monte Carlo.
2. This book also made me feel a lot more confident than the average book from my library - right from chapter 1, I did not feel that it has been a long time since I did derivatives and integration. Worth it.
3. Anyone who says that this is too techie for a normal person just does not get it. I am a very ordinary calculus guy, but this made sense ....you of course need to put your head to it..you cannot be watching Seinfeld and reading this book-- and remember, its structured more like a reference book with all the formulas and brief descriptions of why/how/where they are likely to be used. Excellent and efficient scope if you ask me!
4. As I said, if you are looking at this page then you are most likely interested in derivatives, and believe me my friend, just get this book.Read more ›
If you want to be in quantfin you need to buy The Complete Book of Option Pricing Formulas: it is the "Joy of Cooking" for options. As you work through the collection, the formulas, and look at the code (on a wonderful CDROM) low and behold you'll get better at all principals, concepts, and conceptions on how code works for option pricing formulas.
A word about errors in the previous edition: even critical editions of long-dead authors have errors in them, just look at the "errata" sheets from The Library of America critical editions.
For the first edition Espen Haug put his errata sheet immediately up on his website, and it also is widely available with a simple GOOGLE search (lots of people have copies on the various quant fin discussion boards). 10 seconds extra work versus whining away about how something isn't perfect? Oh, grow up. You rationally will be spending that much extra time on learning this code and digesting material in this book anyway.
Excellent in every way.
Most Recent Customer Reviews
Classic of the genre for the "Collector". All you need to know about option pricing in one book. Very much to the point, no extra fluff, read and use in everyday work. Read morePublished 1 month ago by Daniel C
Without a doubt, hands down the authority on options pricing. Includes an awesome computer CD w/ working Excel spreadsheets & VBA code for all the major options formulas discussed... Read morePublished 2 months ago by Matt
The book is a great overview on what all it takes to become an efficient programmer in option pricing formulas. Read morePublished 9 months ago by Tina Nemarnik
This is an excellent compilation and directly deals with implementation of most of the models and methods discussed herein. Read morePublished on February 8, 2014 by HNK
Excellent, i recommend it. Excellent examples.
Good demonstration of the formulae, without falling into excessive theorem demonstrations
The CD has a complete set of... Read more
I would have liked it if the floppy disc would have worked but its way over my head, I would have liked to to be better at the explanationsPublished on March 3, 2013 by Sydbear
I did not see any VBA code in the cd. I want to return the book. Hope you guys lucky!Published on June 8, 2012 by Zhi Luo
Although there are many typos in the book, it still is an excellent reference if you need to review an option quickly. Read morePublished on January 18, 2011 by Antonie Kotze (PhD)