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| 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: 
Рубрика: Математика/
Статус предметного указателя: Готов указатель с номерами страниц
ed2k:
Издание: 1st edition
Год издания: 1993
Количество страниц: 457
Добавлена в каталог: 26.02.2008
Операции: Положить на полку |
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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,  -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, -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, -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, -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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