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Table Of Contents

1 A Review of Options
2 Put-Call Parity for European Options
3 Put-Call Parity of Stock Options
4 Conversions and Reverse Conversions
5 Parity for Currency Options
6 Parity of European Options on Bonds
7 Put-Call Parity Generalization
8 Labeling Options: Currency Options
9 No-Arbitrage Bounds on Option Prices
10 General Rules of Early Exercise on American Options
11 Effect of Maturity Time Growth on Option Prices
12 Options with Different Strike Prices but Same Time to
13 Convexity Properties of the Option Price Functions
Option Pricing in Binomial Models
14 Single-Period Binomial Model Pricing of European Call
15 RISK-NEUTRAL OPTION PRICING IN THE BINOMIAL MODEL: A FIRST LOOK 109
15 Risk-Neutral Option Pricing in the Binomial Model: A
16 Binomial Trees and Volatility
17 Multi-Period Binomial Option Pricing Model
18 Binomial Option Pricing for European Puts
19 Binomial Option Pricing for American Options
20 Binomial Option Pricing on Currency Options
21 Binomial Pricing of Futures Options
22 Further Discussion of Early Exercising
23 Risk-Neutral Probability Versus Real Probability
24 Random Walk and the Binomial Model
25 Alternative Binomial Trees
26 Estimating (Historical) Volatility
The Black-Scholes Model
27 The Black-Scholes Formulas for European Options
28 Applying the Black-Scholes Formula To Other Assets
29 Option Greeks: Delta, Gamma, and Vega
31 Option Elasticity and Option Volatility
32 The Risk Premium and Sharpe Ratio of an Option
33 Profit Before Maturity: Calendar Spreads
34 Implied Volatility
Option Hedging
35 Delta-Hedging
36 Option Price Approximations: Delta and Delta-Gamma
38 The Black-Scholes Analysis
39 Delta-Gamma Hedging
An Introduction to Exotic Options
40 Asian Options
41 European Barrier Options
42 Compound European Options
43 Chooser and Forward Start Options
44 Gap Options
45 Exchange Options
The Lognormal Stock Pricing Model
46 The Normal Distribution
47 The Lognormal Distribution
48 A Lognormal Model of Stock Prices
49 Lognormal Probability Calculations
50 Conditional Expected Price and a Derivation of Black-
51 Option Valuation as a Discounted Expected Value
52 Computing Normal Random Numbers
53 Simulating Lognormal Stock Prices
54 Monte Carlo Valuation for European Options
55 Monte Carlo Valuation of Asian Options
56 Control Variate Method
57 Antithetic Variate Method and Stratified Sampling
Brownian Motion
58 Brownian Motion
59 Arithmetic Brownian Motion
60 Geometric Brownian Motion
61 Ito Process Multiplication Rules
62 Sharpe ratios of Assets that Follow Geometric Brownian
64 Single Variate Itˆo’s Lemma
65 Valuing a Claim on Sa
The Black-Scholes Partial Differential
66 Differential Equations for Riskless Assets
67 Derivation of the Black-Scholes PDE
68 The Black-Scholes PDE and Equilibrium Returns
69 The Black-Scholes Equation and the Risk Neutral Pricing
Binary Options
70 Cash-or-Nothing Options
71 Asset-or-Nothing Options
72 Supershares
Interest Rates Models
73 Bond Pricing Model with Arbitrage Opportunity
74 A Black-Scholes Analogue for Pricing Zero-Coupon Bonds
75 Zero-Coupon Bond Pricing: Risk-Neutral Process
76 The Rendleman-Bartter Short-Term Model
77 The Vasicek Short-Term Model
78 The Cox-Ingersoll-Ross Short-Term Model
79 The Black Formula for Pricing Options on Bonds
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Actuarial Models

Actuarial Models

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Published by: ivostefanov on Apr 11, 2012
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