Table of Contents
Preface.
PART I: ELEMENTS OF OPTION THEORY.
Fundamentals.
Option Basics.
Stock Price Distribution.
Principles of Option Pricing.
The Black Scholes Model.
American Options.
PART II: NUMERICAL METHODS.
The Binomial Model.
Numerical Solutions of the Black Scholes Equation.
Variable Volatility.
Monte Carlo.
PART III: APPLICATIONS: EXOTIC OPTIONS.
Simple Exotics.
Two Asset Options.
Currency Translated Options.
Options on One Asset at Two Points in Time.
Barriers: Simple European Options.
Barriers: Advanced Options.
Asian Options.
Passport Options.
PART IV: 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.
