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option price implied volatility call black scholes newton,
main, 7, 85, 88 45
Merton option price partials american call binomial, 67
Jump Di¬usion, 104 option price partials call black scholes, 42
modi¬ed duration, 19 option price put american ¬nite di¬ explicit, 79
Monte Carlo option price put american ¬nite di¬ implicit, 108
antithetic variates, 86 option price put bermudan binomial, 96
monte carlo option price put european ¬nite di¬ explicit, 78
control variates, 85 option price put european ¬nite di¬ implicit, 107
mv calculate mean, 110
mv calculate portfolio given mean unconstrained, 110 partial derivatives
mv calculate st dev, 110 binomial, 66
mv calculate variance, 110 Black Scholes, 41
partials
N, 130, 131 Black Scholes, 41
n, 129 payo¬ arithmetric average call, 101
no observations, 26 payo¬ asset or nothing call, 90
normal distribution payo¬ call, 84
approximations, 129 payo¬ cash or nothing call, 90
simulation, 132 payo¬ geometric average call, 101
np, 11 payo¬ lookback call, 102
payo¬ lookback put, 102
option payo¬ put, 84
call, 30 pow() (C++ statement), 5
currency, 58 power, 7
futures, 56 present value, 11
lookback, 99 pricing
put, 30 relative, 30
Option price put option, 30
Black Scholes, 37
option price quadratic approximation, 91
binomial, 62
simulated, 81 random normal, 132
option price american call approximated baw, 93 random uniform 0 1, 132
option price american call one dividend, 54 relative pricing, 30
option price american perpetual call, 60 Rendleman and Bartter model, 124
option price asian geometric average price call, 98 rho, 41
option price call american binomial, 65, 69
option price call american discrete dividends binomial, sgn, 131
simulate lognormal random variable, 82
72
simulate lognormally distributed sequence, 100
option price call american proportional dividends binomial,
simulation, 81
71
string (C++ type), 4
option price call black scholes, 38
option price call european binomial, 32, 35, 64
term structure derivatives, 127
option price call european simulated, 82
term structure model
option price call merton jump di¬usion, 105
Cox Ingersoll Ross, 120
option price delta american call binomial, 66
term structure models
option price delta call black scholes, 41
binomial, 124
option price delta call european simulated, 83
term structure class::discount factor, 24
option price european call dividends, 51
term structure class::forward rate, 24
option price european call payout, 51
term structure class::yield, 24
option price european lookback call, 99


148
term structure class cir, 120 test merton jump di¬ call, 105
term structure class cir::discount factor, 121 test option price call black scholes, 39
term structure class cir::term structure class cir, 121 test option price perpetual american call, 60
term structure class cubic spline, 119 test rgw price am call div, 55
term structure class cubic spline::˜term structure class cubic spline, price adjusted black scholes, 49
test warrant
119 theta, 41
term structure class cubic spline::discount factor, 119
term structure class cubic spline::term structure class cubic spline, security, 37
underlying
unique irr, 15
119
term structure class ¬‚at::term structure class ¬‚at,
Vasicek, 122
25
vega, 41
term structure class ¬‚at::yield, 25
volatility
term structure class interpolated::clear, 27
implied, 44
term structure class interpolated::set interpolated observations,
27
warrant price adjusted black scholes, 49
term structure class interpolated::term structure class interpolated,
27 yield, 23, 25, 26
term structure class interpolated::yield, 27
term structure class nelson siegel, 118
term structure class nelson siegel::term structure class nelson siegel,
118
term structure class nelson siegel::yield, 118
term structure class vasicek, 122
term structure class vasicek::discount factor, 123
term structure class vasicek::term structure class vasicek,
123
term structure discount factor cir, 120
term structure discount factor cubic spline, 118
term structure discount factor from yield, 22
term structure discount factor vasicek, 122
term structure forward rate from disc facts, 22
term structure forward rate from yields, 22
term structure yield from discount factor, 22
term structure yield linearly interpolated, 23
term structure yield nelson siegel, 117
test baw approximation call, 94
test bermudan option, 97
test bin eur call ud, 36
test binomial approximations currency options, 75
test binomial approximations futures options, 74
test binomial approximations option price dividends,
73
test binomial approximations option price partials,
68
test binomial approximations option pricing, 65
test black scholes implied volatility, 46
test black scholes partials call, 43
test black scholes with dividends, 52
test bond option gbm pricing, 115
test currency option european call, 58
test explicit ¬nite di¬erences, 80
test futures option price black, 56
test futures price, 29


149
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