Option Pricing Models

Derivatives markets are continuing to expand all over the world. In particular the over-the-counter market in complex/exotic options is continuing to expand both in volume and complexity. New and more complex options continue to appear. Increasingly, a whole range of professionals in the derivatives area are implementing, testing and comparing complex option pricing models from academic literature. This presents them with two major difficulties. Firstly, the necessary details for the models are scattered throughout the academic literature, often in difficult to obtain journals or unpublished working papers. Secondly, there is no reliable source of numerical results with which implementations of models can be checked. This work contains every option pricing model and corresponding formula. It provides tables of numerical values which allow for ease of use and comparisons as well as up-to-date and current coverage of the latest models including exotic options. Each chapter contains a description of the theoretical model, the basic formulae, tables of numerical results, and notes on the implementation of the model.