14.0 Implied volatility
Links visited in class implied volatility of asset from call option value artificial data plot Newton iter- ates.html 1
14.3 Option value as a function of volatility
Links visited in class Class website slides from last day, Graphics/animation implied volatility of asset from call option value Newton iter- ates, Spreadsheet implied volatility of asset from call option value Newton iterates and Goal seek The following computations of implied volatility are based on real market data for options in mid April with mid/late June expirations. Implied Volatility of asset from call option values XLNX 20190416, Implied Volatility of asset from call option values XLNX 20180409 1
15.3 Monte Carlo for option valuation
15.4 Monte Carlo for Greeks
16.3 Deriving the parameters
18.4 Binomial method for an American put
Links visited in class Class website slides from last day, binomial american put. binomial american put python note code for Vexer, Vhold, max(Vexer,Vhold) 1
18.5 Optimal exercise boundary
Heat and Black-Scholes PDEs
Dividends and option values 1
Dividends and option values 2
Links visited in class Black-Scholes surface for Euro Call C(S,t) with possible asset trajectories plotted on the surface, Black-Scholes surface for Euro Call C(S,t) for asset that pays a single dividend, with possible asset trajectories plotted on the surface. 1
Dividends and option values 3
19.0 Exotic options
19.4 Asian options
20.0 Historical volatility
21.0 Monte Carlo Part II: variance reduction by antithetic variates
21.4 Antithetic variates: uniform example
Links visited in class monte carlo variance reduction antithetic ex1, monte carlo variance reduction antithetic ex2, monte carlo up and out call antithetic pairs. 1
22.0 Monte Carlo Part III: variance reduction by control variates
Links visited in class monte carlo variance reduction control variate ex1, monte carlo variance reduction control variate ex2 1
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