Option Volatility & Pricing: Advanced Trading Strategies and Techniques

by Natenberg, Sheldon

• ISBN13: 9781557384867
• ISBN10: 155738486X
• Edition: 1st
• Format: Hardcover
• Copyright: 1994-08-01
• Publisher: McGraw-Hill

Summary

Provides a thorough discussion of volatility, the most important aspect of options trading. Shows how to identify mispriced options and to construct volatility and "delta neutral" spreads.

Table of Contents

Preface to the First Edition
Preface to the Second Edition
The Language of Options	p. 1
Elementary Strategies	p. 13
Introduction to Theoretical Pricing Models	p. 35
Volatility	p. 51
Using an Option's Theoretical Value	p. 81
Option Values and Changing Market Conditions	p. 95
Introduction to Spreading	p. 127
Volatility Spreads	p. 137
Risk Considerations	p. 173
Bull and Bear Spreads	p. 199
Option Arbitrage	p. 213
Early Exercise of American Options	p. 241
Hedging with Options	p. 257
Volatility Revisited	p. 273
Stock Index Futures and Options	p. 301
Intermarket Spreading	p. 331
Position Analysis	p. 353
Models and the Real World	p. 385
Appendix A A Glossary of Option and Related Terminology	p. 419
Appendix B The Mathematics of Option Pricing	p. 431
Appendix C Characteristics of Volatility Spreads	p. 449
Appendix D What's the Right Strategy?	p. 451
Appendix E Synthetic and Arbitrage Relationships	p. 453
Appendix F Recommended Reading	p. 457
Index	p. 463
Table of Contents provided by Blackwell. All Rights Reserved.