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| Авторизация |
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| Поиск по указателям |
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| Rubinstein M. — Rubinstein on Derivatives |
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| Предметный указатель |
Options, premium 31
Options, profit/loss diagrams 143-7
Options, put see Call and put options
Options, put-call parity relation 147-51 179-80
Options, range forwards 166-7
Options, replication strategy 181-92 (see also Replication strategy)
Options, ROP (registered option principal) 56
Options, sandwich spread 169
Options, seagulls 171 172
Options, skewness, positive or negative 162
Options, standard, defined 141-3
Options, state-contingent claims 169
Options, straddle 163-4 286
Options, strangle 164-5
Options, straps and strips 168-9 172
Options, strike price 31
Options, terminology 151-3
Options, time spreads 161 174
Options, time-to-expiration 31 177 178 224 237
Options, trinomial model 206-7
Options, valuation 172-81
Options, wildcards 39 124
Options, zero-volatility value 152
Options, ‘local’ measures see Greek symbols option
Organised exchanges see exchanges organised
OTM (out-of-the-money call) 158 167
Outperformance options 47
Over-the-counter markets 62-3 68 93 142
Pacific Exchange 58
Packages (exotic options) 45
Pay-later options 46
Payoff calculations, convex and concave functions 326-238 341
Payoff calculations, dynamic strategies 326-8
Payoff calculations, options 3 185-8
Payoff calculations, portfolios 14-15
Payoff calculations, replications 185-8
Payoff calculations, simulation 344-52
Payoff calculations, subjective probabilities 4-5 7-8
Payoff calculations, tables and diagrams 2-3 21 72-3 344-52
Payoff calculations, utility functions 326
Payoff dates 73
Pegging (investor abuse) 66
PERCS (preferred equity redemption cumulative stocks) 42
Perfect markets, binomial option pricing model, and 204 207 225
Perfect markets, forward and futures contracts, and 82 83 97-9 108-9
PERLS (principal exchange rate-linked securities) 42
Philadelphia Stock Exchange 58
Portfolio 45
Portfolio of options versus option on portfolio 175-6
Portfolio of options versus option on portfolio, replicating strategy 19 71-2 109
Portfolio of options versus option on portfolio, revision 18-19
Portfolios, defined 14
Portfolios, delta measures 283-7 289
Portfolios, dynamic replicating portfolio strategy see dynamic strategies
Portfolios, example 14-15
Portfolios, insurance 49 329-42
Portfolios, insurance, American options 331
Portfolios, insurance, basic strategy 329-32
Portfolios, insurance, Black Scholes formula 332-5 341-2
Portfolios, insurance, European options 331
Portfolios, insurance, fiduciary calls 150 331 332 341
Portfolios, insurance, futures, implementation with 335-6
Portfolios, insurance, jumps 337 340-1
Portfolios, insurance, mean-variance analysis 323
Portfolios, insurance, problems in practice 336-41
Portfolios, insurance, riskless returns, uncertain 336-7
Portfolios, insurance, simulation 344-52
Portfolios, insurance, stopping out 338-9
Portfolios, insurance, trading costs 339-40
Portfolios, insurance, trading frequency 340-1
Portfolios, insurance, upside capture 329 334 341
Portfolios, insurance, volatility 336-7
POs (principal only mortgage-backed securities) 44
Postpone, option to 50
Precious metals, forward contracts 114 117(see
Preferred stock 41-2
Premium over current exercisable value (options) 152 158
Probabilities, risk-neutral 9-13
Probabilities, subjective 3-9
Profit/loss diagrams, forward and future contracts 72-9 90
Profit/loss diagrams, options 143-7 157
Property Claims Services National Catastrophe Index 121
Proprietary traders 54
Purchasing power parity 27
Put options see Call and put options
Put-call parity relation, options 147-51 157 179-80
Put-pull parity relation, and 149
Quanto options 47
Rainbow options 47
Range forward options 166-7
Range notes 47
Regulators 62
Relativity theory 20
Rendleman, R. 248
Replication strategies, binomial option pricing model (singleperiod) 201-3
Replication strategies, Black - Scholes formula 332-5
Replication strategies, calls 181-5
Replication strategies, delta measure 182 191
Replication strategies, dynamic 19 71-2 325-6
Replication strategies, forward and futures contracts 71-2 91-110
Replication strategies, jumps 189
Replication strategies, limitations 188-9
Replication strategies, payoffs, general 185-8
Replication strategies, reversal strategy 186
Replication strategies, single-period option model 201-3
Replication strategies, static 72 189-91
Replication strategies, swaps 134-6
Replication strategies, trend-following 186
Replication strategies, valuation, and 91-110
Repo (repurchase agreement) 25
Richter scale 2-3
Risk-aversion 9-10 13
Risk-neutral possibilities 17-18 (see also Arbitrage tables; General arbitrage relations)
Risk-neutral probabilities 9-13 21
Risk-neutral probabilities, binomial option pricing model 207 227
Risk-neutral probabilities, Black - Scholes formula 264-5 276-8
Risk-neutral probabilities, complete markets 17-19
Risk-neutral probabilities, inverse problem 13-19
Risk-neutral probabilities, present values 11 21
Risk-neutral probabilities, risk-aversion 9-10
Risk-neutral probabilities, ‘diminishing marginal utility’ 9
Risk-neutral probabilities, ‘national catastrophe insurance’ 12
Riskless arbitrage opportunities 17-18
Riskless arbitrage opportunities, binomial option pricing model, and 204 207 225
Riskless arbitrage opportunities, forward and futures contracts, and 78-9 82 106-8
Riskless arbitrage opportunities, put-pull parity relation, and 149
Riskless returns, bond options, assumed riskless return tree 248-9
Riskless returns, defined 78
Riskless returns, options, valuation 177
Riskless returns, payout return as 240
Riskless returns, portfolio insurance, problems 336-7
Riskless returns, profit/loss diagrams 77
Riskless returns, single-period 253
Riskless returns, subjective probabilities 8-9 21
Riskless returns, term structure 78-85
Rolling strip hedges 126-8
ROP (registered option principal) 56
Ross, S. 263
RRs (registered representatives) 57
S&P100 (Standard & Poor’s 500 Index), calls and puts 39
S&P100 (Standard & Poor’s 500 Index), cash settlements 93
S&P100 (Standard & Poor’s 500 Index), defined 24
S&P100 (Standard & Poor’s 500 Index), financial institutions, securities of 45
S&P100 (Standard & Poor’s 500 Index), futures 104
S&P100 (Standard & Poor’s 500 Index), programme trading 122
| S&P100 (Standard & Poor’s 500 Index), simulation, portfolio insurance, and 344-52
Sample paths 222 (see also Subjective probabilities)
Savings bonds 42
Scholes, M. 14 197 273 option
Seagull options 171 172
SEC (Securities and Exchange Commission) 62 64 156
Securities and Exchange Commission (SEC) 62 64 156
Securities, corporate debt 40-2
Securities, financial institutions 44 5
Securities, fixed income 25-6
Securities, government 42-3
Securitisation 43
Self-financing strategy 72
Sharpe, W. 197-8
Short sales 73-6 90
Shouts (calls) 47
Simulation strategies 342-52
Simulation strategies, moves 342
Simulation strategies, payoff tables 344-52
Simulation strategies, relative volatility 343
Single-period binomial option pricing model 199-208
Single-period binomial option pricing model, assets 200
Single-period binomial option pricing model, calls 201
Single-period binomial option pricing model, cash 201
Single-period binomial option pricing model, exercisable value 205
Single-period binomial option pricing model, holding value 205
Single-period binomial option pricing model, interpretation 203-6
Single-period binomial option pricing model, payouts 200-1
Single-period binomial option pricing model, replicating portfolio 201-3
Single-period binomial option pricing model, trinomial model, and 206-7
Specialists (exchange members) 54
Speculators 28
Spot price (forward and futures) 91
Spot returns (yield-to-maturity) 79-81 90 98
Spread options 47
Spreaders’(exchange traders) 55
Stack hedges 128-9
Standard & Poor’s 500 Index see S&P100 (Standard & Poor’s 500 Index)
Standard deviation 6
State-contingent claims 15
States (potential events) 2
Stock index futures contracts 120 121-2
Stocks, common 24-5 27 141 177
Straddle options 163-4 286
Strangle options 164-5
Straps and strips (options) 168-9
Strip hedges 125-6
Structured debt 42
Student education, as option 51
Subjective probabilities 3-9
Subjective probabilities, bond option model 251
Subjective probabilities, correlation of variables 7
Subjective probabilities, covariance 7
Subjective probabilities, payoff calculations 4-5 7-8
Subjective probabilities, risk-neutral probabilities, and 10 11
Subjective probabilities, riskless returns see riskless returns
Subjective probabilities, standard deviation 6
Subjective probabilities, timing of payments 8
Subjective probabilities, variance 5-6 (see also Risk-neutral probabilities)
Suicide, as option 52
Swaps, accreting 38
Swaps, amortising 38
Swaps, basis 38
Swaps, classes of derivatives 30-1
Swaps, commodity 38
Swaps, currency 38 136-7
Swaps, defined 30
Swaps, equity 38
Swaps, examples of derivatives 37
Swaps, floating leg 30
Swaps, interest rate 38
Swaps, notional principal 30 131
Swaps, payoff derivatives, as 3
Swaps, plain-vanilla interest rate swap 30 132
Swaps, reset dates 30
Swaps, standard 131-3
Swaps, swap rate 30 132
Swaps, tenor 30 131
Swaps, valuation 134-6
Swaps, zero-coupon interest rate 38
Switch, option to 50
T-bills 25 109-12 116 336
T-bonds 26 112 116 123-4
T-notes 26
Time spreads 161 174
Time-to-delivery 29 110
Time-to-expiration 31 177 178 224 237
Time-to-maturity 110
Trading pits 53
Treasury-bill forwards contracts 25 109-12 116 336
Treasury-bond futures contracts 26 112 116 123-4
Trinomial option model 206-7
Valuation, forward and futures contracts 91-110
Valuation, options 172-81
Valuation, options, fundamental determinants of value 176-8
Valuation, options, general arbitrage relations 173-6
Valuation, options, optimal timing of exercise 178-9
Valuation, options, portfolio of options versus options on portfolio 175-6
Valuation, swaps 134-6
Vanguard Index Trust 600
Variables, correlation of 7
Variance 5-6
Vesting dates (ESOs) 40
Volatility of assets, Bartlett’s test statistic 309
Volatility of assets, binomial option pricing model, multiperiod 222-3 230
Volatility of assets, Black - Scholes formula, and 266-7 317-19
Volatility of assets, estimating, art of 308-12 319-20
Volatility of assets, estimating, Bartlett’s test statistic 309
Volatility of assets, estimating, Garch techniques 311-12 313
Volatility of assets, estimating, kurtosis 310
Volatility of assets, estimating, means 300-2
Volatility of assets, estimating, observation periods 301 310
Volatility of assets, estimating, sample variance 302
Volatility of assets, estimating, sampling intervals 310
Volatility of assets, estimating, volatilities 300-4
Volatility of assets, forward and futures contracts 37
Volatility of assets, implied 313-22
Volatility of assets, jumps 317-19
Volatility of assets, means, estimating 300-2
Volatility of assets, Newton - Raphson search 314-16
Volatility of assets, options, Ho - Lee model 253
Volatility of assets, options, objective population 223 230
Volatility of assets, options, puts 179
Volatility of assets, options, realised sample 223 230
Volatility of assets, options, replication strategy 189
Volatility of assets, options, standard 141
Volatility of assets, options, straddles 163
Volatility of assets, options, subjective population 223 230
Volatility of assets, options, valuation 176 177-8
Volatility of assets, options, zero-volatility value 152
Volatility of assets, portfolio insurance 336-7
Volatility of assets, random walk model 299-300 312
Volatility of assets, realised 299-313 336
Volatility of assets, relative 343
Volatility of assets, sample statistics, variance of 305-8 312
Volatility of assets, sampling intervals 299
Volatility of assets, uncertain 317-19
Volatility of assets, volatilities, estimating 302-4
Warrants 40 46
Wildcards 39 124
Yield-to-maturity (spot return) 79-81 90 98
Zero-coupon bonds 25 78-83 85-6
Zero-coupon interest rate swaps 38
Zero-sum game 33-4 145
‘Day traders’ (exchange members) 54
‘Scalpers’ (exchange members) 54
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