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An introduction to exotic option pricing.


An introduction to exotic option pricing.

Buchen, Peter.

CRC Press

278 pages



Chapman & Hall/CRC financial mathematics series


Buchen (U. of Sydney, Australia) has collected material developed from his teaching, research, and supervising student projects and theses, much of it previously unpublished. He shows how to price, in a Black-Scholes economy, the standard exotic options and host of non-standard ones, without generally performing a single integration or formally solving a partial differential equation. He assumes readers are mathematically capable, but takes an applied rather than pure approach to the theorems and proofs. After reviewing the technical background, he covers simple exotic options, dual expiry options, two-asset rainbow options, barrier options, lookback options, Asian options, and exotic multi-options. (A[c] Book News, Inc., Portland, OR)

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Publication:Reference & Research Book News
Article Type:Brief article
Date:Jun 1, 2012
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