Abstract
The European call options mentioned in Chapter 1 are one example of the many derivatives now on the market. A derivative is a financial instrument whose value is derived from the value of some underlying instrument such as interest rate, foreign exchange rate, or stock price.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Baxter, M. and Rennie, A. (1998) Financial Calculus: An Introduction to Derivative Pricing, Corrected Reprinting, Cambridge University Press, Cambridge.
Bernstein, P. (1992) Capital Ideas: The Improbable Origins of Modern Wall Street, Free Press, New York.
Chance, D. (2003) Rethinking implied volatility, Financial Engineering News, January/February 2003, 7, 20.
French, K. R. and Roll, R. (1986) Stock return variances; The arrival of information and the reaction of traders, Journal of Financial Economics, 17, 5–26.
Hull, J. C. (1995) Introduction to Futures and Options Markets, 2nd Ed., Prentice-Hall, Englewood Cliffs, NJ.
Hull, J. C. (2003) Options, Futures, and Other Derivatives, 5th Ed., Prentice Hall, Upper Saddle River, NJ.
Jarrow, R. and Turnbull, S. (2000) Derivative Securities, 2nd Ed., South-Western College Publishing, Cincinnati, OH.
Merton, R. C. (1992) Continuous-Time Finance, Revised Ed., Blackwell, Cambridge, MA and Oxford, UK.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2004 Springer Science+Business Media New York
About this chapter
Cite this chapter
Ruppert, D. (2004). Options Pricing. In: Statistics and Finance. Springer Texts in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-6876-0_8
Download citation
DOI: https://doi.org/10.1007/978-1-4419-6876-0_8
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4757-6584-7
Online ISBN: 978-1-4419-6876-0
eBook Packages: Springer Book Archive