Contents
Part 1 Elements of Option Theory.
Fundamentals.
Option Basics.
Stock Price Distribution.
Principles of Option Pricing.
The Black Scholes Method.
American Options.
Part 2 Numerical Methods.
The Binomial Model.
Numerical Solutions of the Black Scholes Equation.
Variable Volatility.
Monte Carlo.
Part 3 Applications: Exotic Options.
Simple Exotics.
Two Asset Options.
Currency Translated Optons.
Options on One Asset at Two Points in Time.
Barriers: Simple European Options.
Barriers: Advanced Options.
Asian Options.
Passport Options.
Part 4 Stochastic Theory.
Arbitrage.
Discrete Time Models.
Brownian Motion.
Transition to Continuous Time.
Stochastic Calculus.
Equivalent Measures.
Axiomatic Option Theory.
Mathematical Appendix.
Bibliography and References.
Index.
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