Index

$\gamma$
Partial derivatives.
$\theta$
Partial derivatives.
$\rho$
Partial derivatives.
antithetic variates
Antithetic variates. | Antithetic variates.
asset or nothing call
More exotic options
Barone-Adesi and Whaley
A quadratic approximation to
binary option
More exotic options
binomial option price
Binomial option pricing | Option pricing with binomial
binomial term structure models
Binomial Term Structure models
Black
futures option
Black's model
Black-Scholes price
Analytical option prices, Black
bond
Bonds
price
Bond Price
yield
Yield to maturity.
bond option
basic binomial
Binomial bond option pricing
Black Scholes
Black Scholes bond option
Vasicek
Vasicek bond option pricing
bool (C ++ type)
Types
call option
Binomial option pricing
cash flow
The value of time
cash or nothing call
More exotic options
class
Extending the language, the
cmath
Functions and libraries
control variates
Control variates.
Cox Ingersoll Ross term structure model
Cox Ingersoll Ross.
currency
option
Foreign Currency Options
currency option
American
Foreign Currency options
European
Foreign Currency Options
delta
Partial derivatives.
binomial
Delta
Black Scholes
Partial derivatives.
discount factor
Present value.
double (C ++ type)
Types
duration
Duration.
Macaulay
Duration.
modified
Modified Duration
early exercise premium
A quadratic approximation to
exp() (C++ statement)
Functions and libraries
explicit finite differences
European Options.
finite differences
Finite Differences | Finite Differences
explicit
European Options.
for (C++ statement)
Flow control
function prototypes (C ++ concept)
More general payoffs. Function
futures
option
Options on futures
gamma
Partial derivatives.
geometric Brownian motion
Setup
hedging parameters
Black Scholes
Partial derivatives.
implied volatility
calculation
Implied Volatility.
include (C++ statement)
Functions and libraries
int (C ++ type)
Types
internal rate of return
Internal rate of return.
irr
Internal rate of return.
unique
Check for unique IRR
Jump Diffusion
Merton's Jump diffusion model.
long (C ++ type)
Types
lookback option
Lookback options
Merton
Jump Diffusion
Merton's Jump diffusion model.
modified duration
Modified Duration
monte carlo
antithetic variates
Antithetic variates.
control variates
Control variates.
normal distribution
approximations
Normal Distribution approximations.
simulation
Simulating random normal numbers
np
Present value.
option
call
Binomial option pricing
currency
Foreign Currency Options
futures
Options on futures | Black's model
lookback
Lookback options
put
Binomial option pricing
option price
binomial
Option pricing with binomial
Black-Scholes
Analytical option prices, Black
simulated
Option pricing by simulation
partial derivatives
binomial
Estimating partials.
Black Scholes
Partial derivatives.
partials
Black Scholes
Partial derivatives.
pow() (C++ statement)
Functions and libraries
present value
The value of time | Present value.
pricing
relative
Binomial option pricing
put option
Binomial option pricing
quadratic approximation
A quadratic approximation to
relative pricing
Binomial option pricing
Rendleman and Bartter model
The Rendleman and Bartter
rho
Partial derivatives.
simulation
Option pricing by simulation
string (C ++ type)
Types
term structure derivatives
Term Structure Derivatives
term structure model
Cox Ingersoll Ross
Cox Ingersoll Ross.
term structure models
binomial
Binomial Term Structure models
theta
Partial derivatives.
unique irr
Check for unique IRR
Vasicek
Vasicek
vega
Partial derivatives.
volatility
implied
Implied Volatility.
2003-10-22