Option Theory

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.