|
|
 |
| Авторизация |
|
|
|
| Поиск по указателям |
|
|
|
|
|
|
|
 |
|
|
|
| Wilmott P., Bowison S., DeWynne J. — Option Pricing: Mathematical Models and Computation |
Обсудите книгу на
Нашли опечатку?
Выделите ее мышкой и нажмите Ctrl+Enter
|
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 |
Скопировать ссылку для форума | Скопировать ID
|
|
|
| Предметный указатель |
Probability distribution, normal 21
Projected SOR 319
Projected SOR, algorithm 328
Projected SOR, American option 327
Projected SOR, American option algorithm 328
Projected SOR, average strike 354 355
Projected SOR, convergence 319 322 330 335 336
Projected SOR, obstacle problem 320
Projected SOR, pseudo-code 321
Projected SOR, stability 336
Pseudo-code, American option 331
Pseudo-code, average strike option 404
Pseudo-code, binomial method 393 396 400
Pseudo-code, Crank — Nicolson 311
Pseudo-code, European lookback 341
Pseudo-code, European option 333
Pseudo-code, explicit method 282
Pseudo-code, generalised SOR 334
Pseudo-code, implicit method 303
Pseudo-code, LU decomposition 302
Pseudo-code, projected SOR 321 329
Put option 3
Put option, American 107
Put option, payoff diagram 37
Put-call parity 40 49 68 100
Put-call parity, American option 74
Put-call parity, average strike option 185
Put-call parity, compound option 163
Random walk 23
Random walk, dividend-paying asset 136
Random walk, first exit time 368
Random walk, interest rates 237
Random walk, lognormal 23 28 41
Random walk, realisation 23
Random walk, trinomial 359
Reaction 114
Realisation 23
Rebate 155 164 219
Reduction of order 117
Relaxation parameter 330
replenishment 114
RETURN 20
rho ( ) 65
Risk 4 5
Risk neutrality 52 71 365
Risk neutrality, binomial method 388
Risk neutrality, lattice methods 385
Risk neutrality, option valuation under 366
Risk neutrality, pitfalls 366
Risk neutrality, trinomial method 406
Risk, market price of 239
Risk, specific 5
Risk, systematic 5
Risk-free investment 4
Rounding error 281 285 286
Russian option 218
Russian option, explicit solution 219
Sampling, continuous 161 171
Sampling, discrete 161
Shape function 411 413 419
Shape function, definition 413
Shape function, formula 414 421
Short position 11
Similarity solution 73 89 91 214
Similarity solution, American call 116
Smile 66
SOR 319 332
Spot rate 236
Spot rate, mean-reverting 241 245
Spot rate, volatility 245
Spread, bid-offer 9 222
Spread, butterfly 72 228
Spread, calendar 38
Spread, vertical 38 228
Stability 263 281 286
Stability,  -method 313
Stability, American option 326
Stability, Black — Scholes equation 289
Stability, Crank — Nicolson 310 312
Stability, explicit method 281
Stability, finite differences 306
Stability, implicit method 304
Stability, projected SOR 336
| Stability, relation to convergence 283 286 289
Stefan Problem 120 315
Stochastic differential equation 21
Stochastic differential equation, exotic option 157
Stochastic differential equation, interest rates 237
Stochastic integration 30
Stop-loss option 219
Stop-loss option, explicit solution 220
Straddle 72
Strike price 1
Supershare 151
Swap 248
Swaption 250
Symmetric central difference 272 277 294 317
Technical indicator 375 377
Term structure, interest rate 235
Term structure, volatility 66
Test function 410
Test function, basis function 411
Test function, finite elements 418
Test function, for American call 133
Test function, for American put 129
Test function, for delta function 96
Test function, for obstacle problem 125
Test function, restrictions in finite elements 411
Test function, shape function 411
Theta ( ) 65
theta method (-method), application in finite elements 420
theta method (-method), convergence 313
theta method (-method), stability 313
Time value 36
Transaction costs 42 64 222
Transition density function 358
Transition density function, backward problem 359
Transition density function, boundary conditions 364
Transition density function, forward problem 359 362
Trinomial method 262 387 406
Trinomial method, American put 408
Trinomial method, efficiency 407
Trinomial method, exotic options 407
Trinomial method, jump size 406
Trinomial method, probability 406
Trinomial method, relation to binomial method 406
Trinomial method, relation to finite differences 279 288
Trinomial method, risk neutrality 406
Trinomial walk 359 377
Trinomial walk, mean and variance 361
Two-factor model 147 252
Underlying 1
Underlying asset 1
Variational inequality 316
Variational inequality, American call 133
Variational inequality, American put 127 130
Variational inequality, elliptic 130
Variational inequality, existence and uniqueness 131
Variational inequality, finite-element solution 316 411
Variational inequality, matrix form 412
Variational inequality, numerical approximation 412
Variational inequality, obstacle problem 125 126
Variational inequality, parabolic 127 128 130
Vega 65
Vertical spread 38
Vertical spread, with transaction costs 228
Volatility 21 34 41
Volatility, implied 65 66 71 147
Volatility, index 147
Volatility, known function of time 144
Volatility, spot rate 245
Volatility, stochastic 147
Volatility, term structure 66
Volatility, trading 147
Volatility, yield curve slope 245
Warrants 69 72
Weak formulation 130
Wiener process 21 29
writer 1 10
Yield curve 235 246
Yield curve, decreasing 235
Yield curve, fitting parameters 243
Yield curve, humped 235
Yield curve, increasing 235
Yield curve, volatility of slope 245
Zero-coupon bond 232
|
|
|
| Реклама |
|
|
|
|
|
О проекте