December 2013
Beginner to intermediate
286 pages
5h 46m
English
Content preview from F# for Quantitative FinanceBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Chapter 5. Learning Option Pricing
In this chapter, you will learn how to get started with option pricing using the Black-Scholes formula and the Monte Carlo method. We'll compare the two methods and see where they are most suitable in real-world applications.
In this chapter you will learn:
- The Black-Scholes option pricing formula
- How to use the Monte Carlo method to price options
- European, American, and Exotic options
- How to use real market data from Yahoo! Finance in option pricing
- Plotting the greeks in F#
- The basics of Wiener processes and the Brownian motion
- The basics of stochastic differential equations
Introduction to options
Options come in two variants, puts and calls. The call option gives the owner of the option the right, but not the obligation, ...
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.