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Wilmott P., Bowison S., DeWynne J. — Option Pricing: Mathematical Models and Computation
Wilmott P., Bowison S., DeWynne J. — Option Pricing: Mathematical Models and Computation



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Название: Option Pricing: Mathematical Models and Computation

Авторы: Wilmott P., Bowison S., DeWynne J.

Язык: en

Рубрика: Математика/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Издание: 1st edition

Год издания: 1993

Количество страниц: 457

Добавлена в каталог: 26.02.2008

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
Algorithm, American average strike      355
Algorithm, American option      328
Algorithm, Crank — Nicolson      310
Algorithm, efficiency      263
Algorithm, explicit method      280 281
Algorithm, finite element      423
Algorithm, generalised SOR      333
Algorithm, implicit method      301
Algorithm, obstacle problem      320
Algorithm, projected SOR      319 328
Algorithm, recursive      403
American call, binomial method      395
American call, boundary conditions      323
American call, constraint      54 323
American call, finite elements      419
American call, free boundary      107 110 112 325
American call, initial condition      323
American call, linear complementarity formulation      133
American call, numerical solution      333 336
American call, on dividend-paying asset      54
American call, payoff constraint      419
American call, variational inequality formulation      133
American option      14 54 148
American option, $\theta$-method      325
American option, average strike      158 185
American option, binomial method      394
American option, call      54 110
American option, convergence      335
American option, discretisation      327
American option, finite differences      323 325 327
American option, finite elements      418
American option, finite-element matrix      420
American option, free boundary problem      106
American option, lattice methods      387
American option, linear complementarity formulation      324 327
American option, lookback      204
American option, matrix form      328
American option, numerical methods      261 315 323 325
American option, numerical solution      418
American option, payoff constraint      324
American option, projected SOR      319 327
American option, projected SOR algorithm      328
American option, pseudo-code      331
American option, put      54 107
American option, put-call parity      74
American option, variational inequality      127 418
American option, variational inequality for put      130
American put, binomial method      395 397 399
American put, boundary conditions      323
American put, constraint      54 108 323
American put, Crank — Nicolson      333 335
American put, finite elements      419
American put, free boundary      57 59 107 109 325
American put, initial condition      323
American put, linear complementarity formulation      128
American put, numerical solution      333 335
American put, payoff constraint      419
American put, trinomial method      408
American put, variational inequality      127
Analyticity, for diffusion equation      80
Approximation      263
Arbitrage      3 42 43
Arbitrage, bounds for puts and calls      74
Arithmetic average      155 171 197
Arithmetic average, continuously sampled      171
As-you-like-it option      154
Asian option      15 150 155 170
Asian option, jump condition for discrete sampling      176
Asian option, similarity reductions      179
Asian option, valuation with discrete sampling      176
Ask price      9
Asset, avoiding negative values      141
Asset, definition      18
Asset, dilution      69
Asset, dividend-paying      52 136
Asset, jump for discrete dividend      137
Asset, underlying      1
Asset-or-nothing option      163
At-the-money      36
Average arithmetic      155 171 197
Average discrete sampling      173
Average geometric      155 172
Average local analysis at initiation      188
Average rate option      193
Average rate option, arithmetic average      197
Average rate option, explicit solution      195
Average rate option, geometric average      193
Average rate option, payoff      193
Average strike option      155
Average strike option, $\theta$-method      347
Average strike option, American      158 185 403
Average strike option, binomial method      403
Average strike option, boundary conditions      345
Average strike option, continuously sampled      180
Average strike option, discretely sampled      162
Average strike option, final condition      345
Average strike option, foreign exchange      191
Average strike option, local analysis for American      187
Average strike option, numerical solution      337 344
Average strike option, payoff for American      181
Average strike option, payoff for call      158
Average strike option, put-call parity      185
Average weighted      155
Averaging, changed period      160
Backward difference      269 271 294 306
Backward difference, accuracy      273
Backward difference, geometric interpretation      270
Backward Kolmogorov equation      372
Backward Kolmogorov equation, final condition      362
Backward substitution      299 301
Barrier option      15 149 150
Barrier option, down-and-in      154 164
Barrier option, down-and-out      154 164
Barrier option, European down-and-in call      167
Barrier option, European down-and-out call      165
Barrier option, first exit time      371
Barrier option, perpetual      169
Barrier option, up-and-in      154 164
Barrier option, up-and-out      154 164
Barrier, in      149
Barrier, out      149
Basis function      411 413 419
Basis function, definition      413
Basis function, formula      414 421
Bermudan option      333
Beta      13
Bid price      9
Binary option      38 148 150
Binary option, American      152 163 324
Binary option, binomial method      391 395
Binary option, cash-or-nothing call      268
Binary option, constraint      324
Binary option, difficulty in hedging      151
Binary option, explicit formulae      151
Binary option, finite elements      419
Binary option, free boundary      325
Binary option, initial condition      324
Binary option, numerical solution      268
Binary option, payoff constraint      324 419
Binomial method      32 71 262 387 388
Binomial method, American call      395
Binomial method, American put      395 397 399
Binomial method, average strike      403
Binomial method, average strike algorithm      404
Binomial method, binary option      391 395
Binomial method, binary tree      403
Binomial method, call option      391
Binomial method, discrete dividend      399
Binomial method, dividends      397
Binomial method, efficiency      390 401
Binomial method, European call      391
Binomial method, European put      391 392
Binomial method, exotic options      388 390
Binomial method, jump probability      388 389 394
Binomial method, jump size      388 389 394
Binomial method, lattice splitting      399
Binomial method, pseudo-code      393 396 400
Binomial method, reconnecting lattice      390
Binomial method, relation to finite differences      279 288
Binomial method, relation to trinomial method      406
Binomial method, risk neutrality      388
Black — Scholes equation      44 267
Black — Scholes equation, characteristics      83
Black — Scholes equation, explicit method      289
Black — Scholes equation, explicit solution      97
Black — Scholes equation, lookback put      338
Black — Scholes equation, numerical convergence      289
Black — Scholes equation, numerical methods      261 267
Black — Scholes equation, numerical stability      289
Black — Scholes equation, path-dependent options      157
Black — Scholes equation, time-varying interest rate      145
Black — Scholes equation, time-varying volatility      145
Black — Scholes equation, with dividends      136
Black — Scholes formulas      49
Black — Scholes formulas, European call      49 100
Black — Scholes formulas, European put      49 100
Black — Scholes formulas, time-varying parameters      146
Black — Scholes inequality      60 61 108 111 128
Black — Scholes inequality, American put      60
Black — Scholes inequality, convertible bond      253
Black — Scholes inequality, exotic options      159
Black — Scholes inequality, lookback option      206
Black — Scholes operator      44
Black — Scholes operator, exotic options      158
BOND      232
Bond option      248
Bond pricing equation      238
Bond pricing equation, convertible bond      258
Bond pricing equation, final condition      238
Bond pricing equation, special solutions      240
Bond pricing equation, with coupon payments      238
Bond, convertible      69 252
Bond, coupon      232
Bond, hedging      237
Bond, maturity date      232
Bond, zero-coupon      232
boundary conditions      45 76
Boundary conditions, $\theta$-method      326
Boundary conditions, American call      133 323
Boundary conditions, American put      57 128 323
Boundary conditions, at infinity      48
Boundary conditions, average strike      345
Boundary conditions, binary option      324
Boundary conditions, Crank — Nicolson method      308
Boundary conditions, derivative      340
Boundary conditions, European average strike      182
Boundary conditions, European call      47 268
Boundary conditions, European put      47 268
Boundary conditions, explicit method      278 280
Boundary conditions, finite differences      277 278 295
Boundary conditions, free boundary      109
Boundary conditions, implicit method      295 296
Boundary conditions, lookback put      339 340
Butterfly spread      72
Butterfly spread, with transaction costs      228
Calendar spread      38
Call option      3
Call option, at expiry      35
Call option, FT-SE      8
Call option, payoff diagram      36
CAP      249
Capital Asset Pricing Model (CAPM)      13
Capital market line      14
Caption      250
Cash-or-nothing call option      151 419
Cash-or-nothing call option, American      62 152
Cash-or-nothing call option, binomial method      391
Cash-or-nothing call option, payoff diagram      37
CBOE      9
Central difference      269 271
Central difference, accuracy      273
Central difference, Crank — Nicolson      307
Central difference, geometric interpretation      270
Central difference, symmetric      272 277 294 317
Characteristics      83 337
Characteristics, Black — Scholes equation      83
Characteristics, diffusion equation      80
Characteristics, finite differences      346
Characteristics, first order equation      78 114
Characteristics, numerical solution      346
Characteristics, second order equation      82
Chooser option      150 154
Clearing house      10
Complementarity problem      124
Compound option      150 152
Compound option, put-call parity      163
Confluent hypergeometric function uselessness      184
consumption      114
Continuous sampling      161 171
Continuous sampling, average strike option      180
Continuous sampling, geometric average rate option      196
Continuous sampling, lookback option      203
Continuous time process      26
Convection      114 189
Convergence      263
Convergence, $\theta$-method      313
Convergence, American option      335
Convergence, Black — Scholes equation      289
Convergence, Crank — Nicolson      310
Convergence, discretisation error      305
Convergence, explicit method      286
Convergence, finite differences      273
Convergence, implicit method      305
Convergence, linear      273
Convergence, linear complementarity problem      335
Convergence, projected SOR      319 322 330 335
Convergence, quadratic      273
Convergence, relation to stability      283 286 289
Conversion      252
Conversion, intermittent      254
Convertible bond      69
Convertible bond, boundary conditions      253
Convertible bond, call feature      255
Convertible bond, final condition      253
Convertible bond, intermittent conversion      254
Convertible bond, put feature      255
Convertible bond, stochastic interest rates      256
Convertible bond, with dilution      259
Convertible bonds      252
Coupon      232
Coupon, in bond pricing equation      238
Crank — Nicolson method      293 306 307 326
Crank — Nicolson method, accuracy      307 310
Crank — Nicolson method, algorithm      308 310
Crank — Nicolson method, American option      325
Crank — Nicolson method, American put      333 335
Crank — Nicolson method, average strike      347
Crank — Nicolson method, boundary conditions      308
Crank — Nicolson method, central difference      270 307
Crank — Nicolson method, convergence      310
Crank — Nicolson method, efficiency      310
Crank — Nicolson method, equations      308
Crank — Nicolson method, European options      293
Crank — Nicolson method, European put      310
Crank — Nicolson method, grid      308
Crank — Nicolson method, initial condition      308
Crank — Nicolson method, linear system      309
Crank — Nicolson method, lookback put      339
Crank — Nicolson method, LU decomposition      310
Crank — Nicolson method, matrices      309
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