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Advanced Option Pricing Models
ISBN: 0071406050     Date Published: 2005-02-04     Author(s): Jeffrey Owen Katz
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Hardcover
McGraw-Hill
450 Pages
 
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06/20/2013 01:24:35
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Editorial Review - Book Description:
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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12 of 26 People found the following review helpful.

Option Analysis for Trading Systems, July 25, 2005 ByMichael L. Barna (Los Gatos, CA) - See all my reviews This review is from: Advanced Option Pricing Models (Hardcover) Katz's book on Advanced Options Pricing offers traders additional insight into limitations and errors found in traditional pricing models. For those of us that write mechanical options trading systems, particularly combination models, Jeff's book is a must read. If you are an options price researcher looking for in depth advanced pricingmodel discovery, analysis and mathematics, this book is probably not for you. However, if you are looking at ways to improve your existing models thus converging the error between empirically derived options system equity curves and those equity curves derived from options models, you should read this book. As most traders know, efficient entry and exit points in the market often occur during periods when pricing models break down, so the more you can learn about options behavior during this transient period, the better your overall trading system will be.
 
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