"Advanced Option Pricing Models" details specific conditions under
which current option pricing models fail to provide accurate price
estimates and then shows option traders how to construct improved
models for better pricing in a wider range of market conditions.
Model-building steps cover options pricing under conditional or
marginal distributions, using polynomial approximations and "curve
fitting," and compensating for mean reversion. The authors also
develop effective prototype models that can be put to immediate
use, with real-time examples of the models in action.
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