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Option Pricing Models
Plain Vanilla Options
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The generalized Black and Scholes option pricing formula Options on a stock with cash dividens The Black and Scholes model adjusted for trading day volatility The jump diffusion model American calls on stocks with known dividends American approximations, The Barone-Adesi and Whaley model, and The Bjerksund and Stensland mod The Miltersen and Schwartz commodity option model
Exotic Options
8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 Executive stock options Forward start options Time switch options Chooser options Options on options Writer extendible options Two asset correlation options Exchange one asset for another options Exchange options on exchange options Options on the maximum or the minimum of two risky assets Spread option approximation Floating strike lookback options Fixed strike lookback options Partial-time floating strike lookback options Partial-time fixed strike lookback Extreme spread options Standard barrier options Double barrier options Partial-time single asset barrier options Two asset barrier options Partial-time two asset barrier options Look-barrier options Soft-barrier options Gap options Cash-or-nothing options Two asset cash-or-nothing options Asset-or-nothing options Supershare options Binary barrier options Geometric average rate options Arithmetic average rate options: The Turnbull and Wakeman approximation Arithmetic average rate options: Levy's approximation Foreign equity options struck in domestic currency Fixed exchange rate foreign equity options Equity linked foreign exchange options Takeover foreign exchange options
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Contents
Bjerksund and Stensland model
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Байду номын сангаас
Interest Rate Options
44 Swaptions 45 The Vasicek model
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