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| Авторизация |
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| Поиск по указателям |
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| Hull J. — Options, Futures, and Other Derivative Securities |
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| Предметный указатель |
Absolute diffusion model 442 453
Accrued interest 90 379
American calls 158
American effects of dividends 234—235
American futures options vs. American spot options 265
American on futures 265
American options 5
American path-dependent options 426—428
American puts 160
American relationship between call and put prices 164—166
American Stock Exchange 137
American valuation 329—369
American-style derivative securities 330
Amortizing swap 128
Analytic approximations in option pricing 362 367—369
Antithetic variable technique 333
Arbitrage 49 51 53 55 95—97 219
Arbitrage pricing theory 280
Arbitrageurs 13—14
Asian options 138 421 425 428
Ask price 144
Asset or nothing call 420
Assigned investor 148
At-the-money options 140
Average price call 421
Average price put 421
Average strike call 422
Average strike put 422
Bank for International Settlements (BIS) 455 464
Bankers Trust 11
Barrier options 418
Basis 34
Basis risk 34—36
Basis, strengthening of 34
Basis, weakening of 34
Bear spread 178
Bearish calendar spread 182
Bermudan option 138 415
Beta 61 321
Beta, using futures to change 63
Bid price 144
Bid-ask spread 144
Binary options 420
Binomial model 201—204 217 222 335—352 425
Binomial tree 335—352
Binomial tree, control variate technique 350
Binomial tree, estimating delta and other hedge parameters 341
Binomial tree, extensions to 348—351
Binomial tree, for dividend paying stock 345—348
Binomial tree, for indices, futures, and currencies 343—345
Binomial tree, similarities to finite difference methods 359—361
BIS capital requirements 464
Bivariate normal distribution 245—246
Black and Karasinski model 408
Black — Scholes differential equation: assumptions for 219
Black — Scholes differential equation: boundary conditions of 220
Black — Scholes differential equation: derivation of 219
Black — Scholes differential equation: underlying concepts 218—219
Black — Scholes pricing formulas 224—226
Black — Scholes pricing formulas, alternatives to 434 452—454
Black — Scholes pricing formulas, application to bond options 378—379
Black — Scholes pricing formulas, for warrants issued by a company on its own stock 228—229
Black — Scholes pricing formulas, properties 225—226
Black's approximation 235—237
Black's model, for bond options 378—379
Black's model, for caps 375—377
Black's model, for futures options 259—264
Black, Derman, and Toy model 408
Board broker 145
Bond equivalent yield 97
Bond options, and duration 380
Bond options, and swaptions 370
Bond options, embedded 371
Bond options, exchange-traded 370
Bond options, using forward bond prices 381—382
Bond options, valuation using Black-Scholes 378—379
Bond price process 399
Bond price volatility 389 399
Bootstrap method 84
Boston options 415
Bottom straddle 184
Bottom vertical combination 185
boundary conditions 220 293
Brady commission 322
Break forward 415
buckets 408
Bull spread 175
Bullish calendar spread 182
Butterfly spread 179
Calendar spread 181
Call option 5
Call option, definition 5
Call option, early exercise 158 234
Callable bonds 149 371
Cancellable forward 415
Cap rate 9 374
Cap valuation 375—378
Capital allocation 466
Capital Asset Pricing Model (CAPM) 61 280
Capital requirements 464
Caplets 374
Caps 9 373
CAPS (S&P) 249 420
Cash or nothing call 420
Cheapest-to-deliver bond 91
Chicago Board of Trade 4 18 20 22 27 42 88 106 137 259
Chicago Board Options Exchange 137 149 249
Chicago Mercantile Exchange 4 20 22 58 259
Clearing margin 26
Clearinghouse 26
Closing out position 19
Collars 378
Combinations 183—186
Combinations, straddle 183
Combinations, strangle 185
Combinations, strap 185
Combinations, strip 185
Commission brokers 19
Commodity price process (risk-neutral world) 282
Comparative advantage, currency swap 122
Comparative advantage, interest rate swap 112
Comparative advantage, validity of 116
Compound option model 440 452
Compound options 417
Constant elasticity of variance model 442
Consumption assets 46 67 72
Contango 70
Contingent claims 1
Continuous compounding 46—48
Continuous dividend yield 54 247—249
Control variate technique, Asian options 428
Control variate technique, finite difference methods 356
Control variate technique, Monte Carlo simulation 333
Control variate technique, trees 350
Convenience yield 68 284
Conversion factors 90
Convertible bonds 148 419
Convexity 103
Cost of carry 69
Coupon-bearing bond 82
Coupon-bearing bond yield curve 82
Covered call 146 175
Covered position 295
Cox, Ingersoll, and Ross model 396—397
Credit risk 129 455—467
Credit risk, exposure 456
Credit risk, independence assumption 457
Credit risk, options 459—461
Credit risk, swaps 461—464
Cross-currency futures and options 284—287
| Cumulative bivariate normal distribution function 245—246
Cumulative normal distribution function 226—228
Currency options 255—258
Currency options, quotes 255
Currency options, valuation 257—258
Currency swap 122
Currency swap, credit risk 130 462—464
Currency swap, decomposition into bonds 125
Currency swap, decomposition into forward contracts 126
Currency swap, example 122—125
Currency swap, valuation of 125—128
Day trade 25
Default risk 129 455—467
Deferred payment options 415
Deferred swap 128
Delivery 21
Delivery, cash settlement 33 137 251
Delivery, location 21
Delivery, months 21
Delivery, options 69
Delivery, price 2
Delta 298—307
Delta hedging 298—307
Delta hedging, cost 304
Delta hedging, using futures 306
Delta of American options 341
Delta of European options 300—305
Delta of forward 300
Delta of futures 306
Delta of portfolio 307
Delta, relationship to gamma and theta 314
Delta-neutral portfolio 299
Derivative securities pricing, a single underlying variable 275—278
Derivative securities pricing, cross-currency futures and options 284—287
Derivative securities pricing, several underlying variables 279—282
Derivative securities pricing, underlying a commodity 282—284
Derivative security, definition 1
Derivative security, examples 1 9—12
Diagonal spread 183
Differential equation, Black — Scholes 219
Differential equation, futures contract 271—273
Differential equation, general case 291—293
Differential equation, stock paying continuous dividend yield 270—271
Discount instrument 95
Discount rate 97
Displaced diffusion model 441 453
Dividend yield 54 247 345
Dividends 140 153 166—167 232—237 345—348
Down-and-in option 419
Down-and-out option 419
Duration 99
Duration, hedging using 101—103
Duration, limitations of 103—105
Dynamic hedging schemes 300
Early exercise 158
Early exercise, calls on a dividend paying stock 166 244—246
Early exercise, calls on a nondividend paying stock 158
Early exercise, puts on a nondividend paying stock 160
Early redemption privilege 372
Efficient markets 191
Embedded bond options 371
Empirical research, Black — Scholes and other option pricing model 445—448
Empirical research, futures and forward prices 57
Empirical research, futures price and expected future spot price 71—72
Empirical research, options 167
Eurocurrency market 112
Eurodollar futures contract 98—99
Eurodollar interest rate 98
European options 5
European options, effects of dividends 166 233—234
European options, on futures vs. spot option 264—265
European-style derivative security 329
Ex-dividend date 60 233
Exercise date 5
Exercise limits 141
Exercise price 5
Exotic options 414—431
Exotic options, Asian options 138 421 425 428
Exotic options, barrier options 418
Exotic options, binary options 420
Exotic options, compound options 417
Exotic options, exchange of assets 423
Exotic options, forward start options 416
Exotic options, lookback options 420
Exotic options, nonstandard American options 415
Exotic options, options to exchange one asset for another 423
Exotic options, packages 415
Exotic options, several assets 424
Exotic options, valuation tools 425—426
Exotic options, “as you like it” options 418
Expectations theory 87
Expected rate of return 213—214
Expiration date of options 5 138
Explicit finite difference method 356
Extendable swap 128
Financial News Composite Index 249
Finite difference methods 352
Finite difference methods, application of 361—362
Finite difference methods, backward difference approximation 354
Finite difference methods, explicit 356 358
Finite difference methods, forward difference approximation 354
Finite difference methods, implicit 354
Finite difference methods, relation to tree approaches 359—361
Flexible forward contract 11
Floating interest rates 112
Floor broker 144
Floor-ceiling agreement 378
Floors 378
Foreign currency options 137 255
Foreign exchange quotes 64
Forward bond yield 382
Forward contract 2
Forward contract, and delta hedging 300
Forward contract, comparison with futures 4—5
Forward contract, definition 2
Forward contract, delivery price 2
Forward contract, difference between delivery and forward prices 56—57
Forward contract, forward price 2
Forward contract, long position 2
Forward contract, on income bearing security (known cash income) 53—54
Forward contract, on non-income security 51—52
Forward contract, on security paying a continuous dividend yield 54—55
Forward contract, payoffs from 3
Forward contract, short position 2
Forward interest rate 81
Forward interest rate, volatility of 376
Forward price 45
Forward price, definition 2
Forward price, difference from forward contract value 51
Forward price, equality to futures price 78—79
Forward price, general result 55—56
Forward price, on a security that pays a known dividend yield 54—55
Forward price, on currency 63—65
Forward price, vs. futures prices 56—57
Forward rate curve 83
Forward rate process 400
Forward rate volatilities 377
Forward start options 416
Forward swap 128
Forward volatilities (caps) 377
Forward with optional exit 415
Futures contract 3
Futures contract, and delta hedging 306
Futures contract, cash settlement 33
Futures contract, closing out position 19
Futures contract, commodities 65—68
Futures contract, contract size 20
Futures contract, converging to spot 32—33
Futures contract, currencies 63—65
Futures contract, daily price movement limits 22
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