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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: ed2k stats
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 |
Crank — Nicolson method, mesh 308
Crank — Nicolson method, pseudo-code 311
Crank — Nicolson method, stability 310 312
Delta 43 44 64
Delta function 81 92 94 142
Delta function, delta-sequence 94
Delta, American option 62
Delta, delta-hedging 64
Delta, delta-neutral 64
Delta, European call 49
Delta, European put 49
Delta, lattice methods 386
Delta, with transaction costs 224
Delta-hedging 63 225
Density function, lognormal 23
Density function, normal 21
Density function, transition 358
Diffusion equation 79 80 88 268 338
Diffusion equation, backward 85 283 286
Diffusion equation, boundary conditions 83
Diffusion equation, characteristics 80 83
Diffusion equation, explicit solution 92
Diffusion equation, forward 85
Diffusion equation, fundamental solution 81 90 92 93
Diffusion equation, initial conditions 83
Diffusion equation, initial value problem 92
Diffusion equation, numerical methods 261 267
Diffusion equation, numerical stability 283
Digital option 38 148 150
Dilution 259
Dimensionless parameter 98 112
Dimensionless variables 100
Directional derivative 77
Discounting 16
Discrete sampling 161
Discrete sampling, average rate option 193
Discrete sampling, average strike option 162
Discrete sampling, jump condition 162
Discrete sampling, lookback option 209
Discretisation 263
Discretisation error 286 287
Discretisation, average strike 337 346
Discretisation, characteristics 346
Discretisation, finite-difference 263
Discretisation, finite-element 263 421
Dividend 42 52 110 135
Dividend yield 52
Dividend yield, binomial method 397 400
Dividend, binomial method 397 399
Dividend, discrete 136 137 399
Dividend, effect of discrete on option 138
Dividend, effect on binomial lattice 399
Dividend, jump in asset price for discrete 137
Dividend, lattice method 387
Dividend, structure of 136
Dividend, yield 136 137
Down-and-out option 149
Drift 20
Early exercise 54
Early exercise, probability of 374
Efficiency, binomial method 401
Efficiency, lattice methods 387
Efficiency, trinomial method 407
Efficient frontier 14
Efficient market 13
Efficient market hypothesis 19
European call, binomial method 391
European call, Black — Scholes formula 49
European call, boundary conditions 268
European call, delta 49
European call, explicit formula 100
European call, formula with dividends 53
European call, initial condition 268
European call, numerical solution 268
European option 14
European option, binomial method 392
European option, Black — Scholes formulae 100
European option, Crank — Nicolson method 293
European option, explicit method 277
European option, finite differences 277 293
European option, implicit method 293
European option, numerical methods 261 277 293
European option, pseudo-code 333
European option, SOR algorithm 333
European option, SOR method 332
European put, binomial method 391
European put, binomial solution 392
European put, Black — Scholes formula 49
European put, boundary conditions 268
European put, Crank — Nicolson method 310
European put, delta 49
European put, explicit formula 100
European put, implicit solution 301
European put, initial condition 268
European put, numerical solution 268 281
Exercise price 1 34
Exercise strategy 58
Exotic option 15 148
Exotic option, binomial method 388 403
Exotic option, lattice methods 387
Exotic option, linear complementarity formulation 159
Exotic option, numerical solution 337
Exotic option, trinomial method 407
Expectation operator 22
Expiry 1 34
Explicit method 277 326
Explicit method, algorithm 280
Explicit method, American option 325
Explicit method, average strike 347
Explicit method, Black — Scholes equation 289
Explicit method, boundary conditions 278 280
Explicit method, convergence 278 286 289
Explicit method, convergence for Black-Scholes 289
Explicit method, efficiency 283
Explicit method, equations 278
Explicit method, European options 277
Explicit method, European put 281
Explicit method, initial condition 278 280
Explicit method, lookback put 339
Explicit method, mesh 279
Explicit method, pseudo-code 282
Explicit method, random walk 278 288
Explicit method, relation of convergence and stability 286
Explicit method, rounding error 285
Explicit method, stability 281 283 284 289
Explicit method, stability for Black — Scholes 289
Final condition 76
Finite differences 263 267
Finite differences, -method 420; 293 312
Finite differences, accuracy 272 273 307 310 344 346
Finite differences, American average strike 353
Finite differences, American option 323 325 327
Finite differences, American option algorithm 328
Finite differences, approximation 267 274 347
Finite differences, average strike algorithm 355
Finite differences, average strike option 344 346
Finite differences, backward 269 271 273 294 306
Finite differences, Bermudan option 333
Finite differences, binomial method 279 288
Finite differences, Black — Scholes equation 289
Finite differences, boundary conditions 277 278 280 295 296 308
Finite differences, central 269—271 273 307
Finite differences, characteristics 346
Finite differences, convergence 273 274 278 286 289 293 305 310 313 335
Finite differences, convergence for Black — Scholes 289
Finite differences, Crank — Nicolson 270 293 306—308 310 312
Finite differences, dangers 289 290
Finite differences, discretisation 346
Finite differences, discretisation error 286 287 305
Finite differences, efficiency 283 294 297 301 310 339 348
| Finite differences, equivalence to finite elements 416 423
Finite differences, error bounds 273 346
Finite differences, European average strike 350
Finite differences, European options 277 293
Finite differences, explicit algorithm 280 282
Finite differences, explicit equations 278
Finite differences, explicit method 270 277 306
Finite differences, for first derivatives 269 346
Finite differences, for second derivatives 271
Finite differences, forward 269 271 273 277 306 348
Finite differences, fully implicit method 293 294
Finite differences, geometric interpretation 270
Finite differences, grid 274 278 279 293 295 305 308 317 325
Finite differences, high order 346
Finite differences, implicit algorithm 301
Finite differences, implicit equations 295
Finite differences, implicit method 270 293 294 306
Finite differences, initial condition 277 278 280 295 308
Finite differences, lattice methods 279 288
Finite differences, linear complementarity problem 317 325 327 335
Finite differences, linear convergence 273
Finite differences, linear system 296 309
Finite differences, lookback put 338 339
Finite differences, LU decomposition 300 310
Finite differences, matrix 296 309
Finite differences, mesh 274 278 279 293 295 305 308 317 325
Finite differences, node 274
Finite differences, one-sided 348
Finite differences, quadratic convergence 273
Finite differences, random walk 274 278 288
Finite differences, relation of convergence and stability 286
Finite differences, relation to lattice methods 262 408
Finite differences, rounding error 285 286
Finite differences, SOR 332
Finite differences, SOR algorithm 333
Finite differences, stability 281 283 284 289 293 304 306 310 312 313 326 348
Finite differences, stability for Black — Scholes 289
Finite differences, symmetric central 272 277 294
Finite differences, symmetric difference 348
Finite differences, three-dimensional 338
Finite differences, trinomial method 279 288
Finite differences, use in finite elements 420
Finite elements 263 316 410—412
Finite elements, -method 420
Finite elements, algorithm 423
Finite elements, American call 419
Finite elements, American option 418
Finite elements, American put 419
Finite elements, basis function 411 413 414 419 421
Finite elements, binary option 419
Finite elements, discretisation 421
Finite elements, element 413
Finite elements, equations 416
Finite elements, equivalence to finite differences 416 423
Finite elements, finite-difference approximation 420
Finite elements, grid 413
Finite elements, implementation 413
Finite elements, lumped mass integration 421
Finite elements, matrices for American options 420
Finite elements, matrix 412 415 420
Finite elements, mesh 413
Finite elements, node 413 421
Finite elements, obstacle problem 410
Finite elements, shape function 411 413 414 419 421
Finite elements, solution of equations 416
Finite elements, test function 418
Finite elements, variational inequality 411
First exit time 368
First exit time, cumulative distribution function 380
FLOOR 249
Floortion 250
Fokker — Planck equation 363
Foreign exchange option 191
Forward contract 66 74
Forward difference 269 271 277 306 348
Forward difference, accuracy 273
Forward difference, geometric interpretation 270
Forward Kolmogorov equation 363
Forward Kolmogorov equation, boundary conditions 363
Forward Kolmogorov equation, initial condition 363
Forward price 66
Forward substitution 299 301
Free boundary 107
Free boundary problem 55 106 107
Free boundary problem, numerical methods 315
Free boundary problem, obstacle problem 316
Free boundary problem, oxygen consumption problem 316
Free boundary problem, Stefan problem 110 315
Free boundary, American average strike 187
Free boundary, American call 112 325
Free boundary, American option 55
Free boundary, American put 109 325
Free boundary, binary option 325
Free boundary, linear complementarity problem 324
Fugit 375
Fully implicit method 293 294
Fundamental solution 90
Futures contract 66 69
Gamma () 64
Gearing 3
Generalised function 95
Geometric average 155
Geometric average, average rate option 193
Geometric average, continuously sampled 172 196
Green's function 102
Grid, American option 325
Grid, approximation 274
Grid, average strike 350
Grid, finite difference 278 279
Grid, finite-difference 274
Grid, finite-element 411 413
Grid, spacing 274
Grid, three-dimensional 339
Group invariance 91
Heat equation 79
Heaviside function 96
Hedging 12 63 222
Hedging, bonds 237
Implicit method 294 326
Implicit method, algorithm 301
Implicit method, American option 325
Implicit method, average strike 347
Implicit method, backward substitution 301
Implicit method, boundary conditions 295 296
Implicit method, convergence 305
Implicit method, discretisation error 305
Implicit method, efficiency 297 301
Implicit method, equations 295 296
Implicit method, European options 293
Implicit method, European put 301
Implicit method, forward substitution 301
Implicit method, initial condition 295
Implicit method, linear system 296
Implicit method, lookback put 339
Implicit method, LU decomposition 300
Implicit method, matrix 296
Implicit method, pseudo-code 303
Implicit method, stability 304
Implied volatility 65 71 147
In barrier 149
In-the-money 36
Initial condition 76
Initial condition, -method 326
Initial condition, American call 323
Initial condition, American put 323
Initial condition, binary option 324
Initial condition, Crank — Nicolson method 308
Initial condition, European call 99 268
Initial condition, European put 268
Initial condition, explicit method 278 280
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