Authors: Sheldon Natenberg, Jeffrey M. Cohen
ISBN-13: 9781557384867, ISBN-10: 155738486X
Format: Hardcover
Publisher: McGraw-Hill Companies, The
Date Published: August 1994
Edition: 1st Edition
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One of the most widely read books among active option traders around the world, Option Volatility & Pricing has been completely updated to reflect the most current developments and trends in option products and trading strategies.
Featuring:
Written in a clear, easy-to-understand fashion, Option Volatility & Pricing points out the key concepts essential to successful trading. Drawing on his experience as a professional trader, author Sheldon Natenberg examines both the theory and reality of option trading. He presents the foundations of option theory explaining how this theory can be used to identify and exploit trading opportunities. Option Volatility & Pricing teaches you to use a wide variety of trading strategies and shows you how to select the strategy that best fits your view of market conditions and individual risk tolerance.
New sections include:
Preface to the First Edition | ||
Preface to the Second Edition | ||
1 | The Language of Options | 1 |
2 | Elementary Strategies | 13 |
3 | Introduction to Theoretical Pricing Models | 35 |
4 | Volatility | 51 |
5 | Using an Option's Theoretical Value | 81 |
6 | Option Values and Changing Market Conditions | 95 |
7 | Introduction to Spreading | 127 |
8 | Volatility Spreads | 137 |
9 | Risk Considerations | 173 |
10 | Bull and Bear Spreads | 199 |
11 | Option Arbitrage | 213 |
12 | Early Exercise of American Options | 241 |
13 | Hedging with Options | 257 |
14 | Volatility Revisited | 273 |
15 | Stock Index Futures and Options | 301 |
16 | Intermarket Spreading | 331 |
17 | Position Analysis | 353 |
18 | Models and the Real World | 385 |
Appendix A A Glossary of Option and Related Terminology | 419 | |
Appendix B The Mathematics of Option Pricing | 431 | |
Appendix C Characteristics of Volatility Spreads | 449 | |
Appendix D What's the Right Strategy? | 451 | |
Appendix E Synthetic and Arbitrage Relationships | 453 | |
Appendix F Recommended Reading | 457 | |
Index | 463 |