FD Option Pricing Jinay Jigar Vaibhav Jagdish Hitesh

8/13/2019 FD Option Pricing Jinay Jigar Vaibhav Jagdish Hitesh

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http://en.wikipedia.org/wiki/Put_optionhttp://en.wikipedia.org/wiki/Call_option


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http://en.wikipedia.org/wiki/Interest_ratehttp://en.wikipedia.org/w/index.php?title=Bond_yield&action=edit&redlink=1


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http://en.wikipedia.org/wiki/Dividendhttp://en.wikipedia.org/wiki/Geometric_Brownian_motionhttp://en.wikipedia.org/wiki/Geometric_Brownian_motionhttp://en.wikipedia.org/wiki/Random_walkhttp://en.wikipedia.org/wiki/Risk-free_interest_rate


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http://en.wikipedia.org/wiki/Hedge_(finance)


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http://en.wikipedia.org/wiki/Probability_density_functionhttp://en.wikipedia.org/wiki/Cumulative_distribution_functionhttp://en.wikipedia.org/wiki/Cumulative_distribution_functionhttp://en.wikipedia.org/wiki/Standard_normalhttp://en.wikipedia.org/wiki/Portfolio_(finance)http://en.wikipedia.org/wiki/Quadratic_variationhttp://en.wikipedia.org/wiki/Quadratic_variationhttp://en.wikipedia.org/wiki/Drift_ratehttp://en.wikipedia.org/wiki/Force_of_interesthttp://en.wikipedia.org/wiki/Force_of_interesthttp://en.wikipedia.org/wiki/Continuous_compoundinghttp://en.wikipedia.org/wiki/Risk-free_interest_ratehttp://en.wikipedia.org/wiki/Strike_price


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http://en.wikipedia.org/wiki/Volatility_(finance)http://en.wikipedia.org/wiki/Continuous_compoundinghttp://en.wikipedia.org/wiki/Continuous_compoundinghttp://en.wikipedia.org/wiki/Risk_free_ratehttp://en.wikipedia.org/wiki/Spot_pricehttp://en.wikipedia.org/wiki/Standard_normal_distributionhttp://en.wikipedia.org/wiki/Standard_normal_distributionhttp://en.wikipedia.org/wiki/Cumulative_distribution_functionhttp://en.wikipedia.org/wiki/Black%E2%80%93Scholes#Notationhttp://en.wikipedia.org/wiki/Put-call_parityhttp://en.wikipedia.org/wiki/Put_optionhttp://en.wikipedia.org/wiki/Equation_solving#Differential_equationshttp://en.wikipedia.org/wiki/Black%E2%80%93Scholes#The_Black.E2.80.93Scholes_equation_and_its_derivationhttp://en.wikipedia.org/wiki/Consistencyhttp://en.wikipedia.org/wiki/Call_optionhttp://en.wikipedia.org/wiki/Put_optionhttp://en.wikipedia.org/wiki/European_option


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http://en.wikipedia.org/wiki/Underlyinghttp://en.wikipedia.org/wiki/Lattice_model_(finance)http://en.wikipedia.org/wiki/Lattice_model_(finance)http://en.wikipedia.org/wiki/Mark_Rubinsteinhttp://en.wikipedia.org/wiki/Stephen_Ross_(economist)http://en.wikipedia.org/wiki/John_C._Coxhttp://en.wikipedia.org/wiki/Option_(finance)http://en.wikipedia.org/wiki/Numerical_analysishttp://en.wikipedia.org/wiki/Numerical_analysishttp://en.wikipedia.org/wiki/Finance


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http://en.wikipedia.org/wiki/Asian_optionshttp://en.wikipedia.org/wiki/Exotic_derivativeshttp://en.wikipedia.org/wiki/Path_dependencehttp://en.wikipedia.org/wiki/Convergence_(mathematics)http://en.wikipedia.org/wiki/Convergence_(mathematics)http://en.wikipedia.org/wiki/European_optionhttp://en.wikipedia.org/wiki/Black%E2%80%93Scholeshttp://en.wikipedia.org/wiki/Black%E2%80%93Scholes#The_modelhttp://en.wikipedia.org/wiki/Normal_distributionhttp://en.wikipedia.org/wiki/Random_samplinghttp://en.wikipedia.org/wiki/Volatility_(finance)http://en.wikipedia.org/wiki/Geometric_Brownian_motionhttp://en.wikipedia.org/wiki/Underlying_instrumenthttp://en.wikipedia.org/wiki/Monte_Carlo_option_model#cite_note-Don_Chance-2http://en.wikipedia.org/wiki/Stockhttp://en.wikipedia.org/wiki/Option_(finance)http://en.wikipedia.org/wiki/Option_time_value#Intrinsic_valuehttp://en.wikipedia.org/wiki/Exercise_(options)http://en.wikipedia.org/wiki/Simulationhttp://en.wikipedia.org/wiki/Underlyinghttp://en.wikipedia.org/wiki/Randomhttp://en.wikipedia.org/wiki/Rational_pricing#Risk_neutral_valuationhttp://en.wikipedia.org/wiki/Rational_pricing#Risk_neutral_valuationhttp://en.wikipedia.org/wiki/Risk_neutralityhttp://en.wikipedia.org/wiki/Expected_valuehttp://en.wikipedia.org/wiki/Present_valuehttp://en.wikipedia.org/wiki/Financial_economicshttp://en.wikipedia.org/wiki/American_optionhttp://en.wikipedia.org/wiki/Eduardo_Schwartzhttp://en.wikipedia.org/wiki/Francis_Longstaffhttp://en.wikipedia.org/wiki/Asian_optionhttp://en.wikipedia.org/wiki/European_optionhttp://en.wikipedia.org/wiki/European_optionhttp://en.wikipedia.org/wiki/Phelim_Boylehttp://en.wikipedia.org/wiki/Buffon%27s_needlehttp://en.wikipedia.org/wiki/Buffon%27s_needlehttp://en.wikipedia.org/wiki/Georges-Louis_Leclerc,_Comte_de_Buffonhttp://en.wikipedia.org/wiki/Stanislaw_Ulamhttp://en.wikipedia.org/wiki/Option_(finance)http://en.wikipedia.org/wiki/Monte_Carlo_methodhttp://en.wikipedia.org/wiki/Mathematical_finance


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http://en.wikipedia.org/wiki/Rainbow_optionhttp://en.wikipedia.org/wiki/Rainbow_optionhttp://en.wikipedia.org/wiki/Basket_optionhttp://en.wikipedia.org/wiki/Monte_Carlo_option_model#cite_note-8http://en.wikipedia.org/wiki/Monte_Carlo_option_model#cite_note-Marco_Dias-1http://en.wikipedia.org/wiki/Real_optionshttp://en.wikipedia.org/wiki/Inflationhttp://en.wikipedia.org/wiki/Commodity_marketshttp://en.wikipedia.org/wiki/Cholesky_decomposition#Monte_Carlo_simulationhttp://en.wikipedia.org/wiki/Correlationhttp://en.wikipedia.org/wiki/Exchange_ratehttp://en.wikipedia.org/wiki/Monte_Carlo_option_model#cite_note-Cortazar_et_al-7http://en.wikipedia.org/wiki/Joint_probabilityhttp://en.wikipedia.org/wiki/Monte_Carlo_option_model#cite_note-6http://en.wikipedia.org/wiki/Short_rate_model#Multi-factor_short-rate_modelshttp://en.wikipedia.org/wiki/Short-rate_modelhttp://en.wikipedia.org/wiki/Short-rate_model#Particular_short-rate_modelshttp://en.wikipedia.org/wiki/Monte_Carlo_option_model#cite_note-5http://en.wikipedia.org/wiki/Collateralized_mortgage_obligationhttp://en.wikipedia.org/wiki/Interest_rate_derivativehttp://en.wikipedia.org/wiki/Lattice_model_(finance)http://en.wikipedia.org/wiki/Swap_(finance)http://en.wikipedia.org/wiki/Monte_Carlo_option_model#cite_note-4http://en.wikipedia.org/wiki/Swaptionhttp://en.wikipedia.org/wiki/Bond_valuation#Arbitrage-free_pricing_approachhttp://en.wikipedia.org/wiki/Yield_curvehttp://en.wikipedia.org/wiki/Short-rate_model#The_short_ratehttp://en.wikipedia.org/wiki/Interest_ratehttp://en.wikipedia.org/wiki/Bond_(finance)http://en.wikipedia.org/wiki/Bond_option


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http://en.wikipedia.org/wiki/Real_options_analysishttp://en.wikipedia.org/wiki/Monte_Carlo_option_model#cite_note-Tanenbaum-9http://en.wikipedia.org/wiki/Asian_optionhttp://en.wikipedia.org/wiki/Lookback_optionhttp://en.wikipedia.org/wiki/BOPMhttp://en.wikipedia.org/wiki/Black%E2%80%93Scholeshttp://en.wikipedia.org/wiki/State_priceshttp://en.wikipedia.org/wiki/Least_squares_regressionhttp://en.wikipedia.org/wiki/Least_squares_regressionhttp://en.wikipedia.org/wiki/Backward_inductionhttp://en.wikipedia.org/wiki/Heston_modelhttp://en.wikipedia.org/wiki/Volatility_(finance)http://en.wikipedia.org/wiki/Stochastic_volatilityhttp://en.wikipedia.org/wiki/Parameterhttp://en.wikipedia.org/wiki/Statistical_parameterhttp://en.wikipedia.org/wiki/Monte_Carlo_option_model#cite_note-10http://en.wikipedia.org/wiki/Energy_derivativehttp://en.wikipedia.org/wiki/Energy_derivativehttp://en.wikipedia.org/wiki/Mean_reverting_processhttp://en.wikipedia.org/wiki/Jump_processhttp://en.wikipedia.org/wiki/Stochastic_processhttp://en.wikipedia.org/wiki/Datar%E2%80%93Mathews_method_for_real_option_valuationhttp://en.wikipedia.org/wiki/Datar%E2%80%93Mathews_method_for_real_option_valuationhttp://en.wikipedia.org/wiki/Monte_Carlo_option_model#cite_note-Tanenbaum-9http://en.wikipedia.org/wiki/Lognormal_distributionhttp://en.wikipedia.org/wiki/Normal_distributionhttp://en.wikipedia.org/wiki/Probability_distributionhttp://en.wikipedia.org/wiki/Probability_distribution


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http://en.wikipedia.org/wiki/Real_options_analysis


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http://en.wikipedia.org/w/index.php?title=Finite_difference_methods_for_option_pricing&action=edit&section=2http://en.wikipedia.org/wiki/Interpolationhttp://en.wikipedia.org/wiki/Spot_pricehttp://en.wikipedia.org/wiki/Underlyinghttp://en.wikipedia.org/wiki/Stencil_(numerical_analysis)http://en.wikipedia.org/wiki/Finite_difference_method#Explicit_methodhttp://en.wikipedia.org/wiki/Crank%E2%80%93Nicolson_method#Application_in_financial_mathematicshttp://en.wikipedia.org/wiki/Recursionhttp://en.wikipedia.org/wiki/Put_call_parity#External_linkshttp://en.wikipedia.org/wiki/Put_call_parity#External_linkshttp://en.wikipedia.org/wiki/Moneynesshttp://en.wikipedia.org/wiki/Option_time_value#Intrinsic_valuehttp://en.wikipedia.org/wiki/Finite_difference_methods_for_option_pricing#cite_note-5http://en.wikipedia.org/wiki/Moneynesshttp://en.wikipedia.org/wiki/Dimensionhttp://en.wikipedia.org/wiki/Finite_differencehttp://en.wikipedia.org/wiki/Finite_difference_methods_for_option_pricing#cite_note-Schwartz-2http://en.wikipedia.org/wiki/Black%E2%80%93Scholes#The_Black.E2.80.93Scholes_equationhttp://en.wikipedia.org/wiki/Function_(mathematics)http://en.wikipedia.org/wiki/Partial_differential_equation


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http://en.wikipedia.org/wiki/Finite_difference_methods_for_option_pricing#cite_note-7http://en.wikipedia.org/wiki/Special_casehttp://en.wikipedia.org/wiki/Finite_difference_methods_for_option_pricing#cite_note-6http://en.wikipedia.org/wiki/Trinomial_treehttp://en.wikipedia.org/wiki/Binomial_options_pricing_modelhttp://en.wikipedia.org/wiki/Finite_difference_methods_for_option_pricing#cite_note-Boyle-3http://en.wikipedia.org/wiki/Monte_Carlo_methods_for_option_pricinghttp://en.wikipedia.org/wiki/High-dimensional_spacehttp://en.wikipedia.org/wiki/High-dimensional_spacehttp://en.wikipedia.org/wiki/Finite_difference_methods_for_option_pricing#cite_note-JHull-1http://en.wikipedia.org/wiki/Lattice_model_(finance)


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http://en.wikipedia.org/wiki/Wikipedia:Citation_neededhttp://en.wikipedia.org/wiki/Risk-neutral_measurehttp://en.wikipedia.org/wiki/Risk-neutral_measurehttp://en.wikipedia.org/wiki/Heston_model#cite_note-Albr2007-3http://en.wikipedia.org/wiki/Wiener_processhttp://en.wikipedia.org/wiki/CIR_processhttp://en.wikipedia.org/wiki/Heston_model#cite_note-Wilm2006-2


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http://en.wikipedia.org/wiki/Wikipedia:Citation_neededhttp://en.wikipedia.org/wiki/Girsanov%27s_theorem


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http://en.wikipedia.org/wiki/Wikipedia:Citation_neededhttp://en.wikipedia.org/wiki/Variance_swaphttp://en.wikipedia.org/wiki/Wikipedia:Citation_needed


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http://en.wikipedia.org/wiki/Variance_gamma_process#cite_note-MadanCarrChang-1http://en.wikipedia.org/wiki/Subordinator_(mathematics)http://en.wikipedia.org/wiki/Gamma_processhttp://en.wikipedia.org/wiki/Wiener_processhttp://en.wikipedia.org/wiki/Laplace_distributionhttp://en.wikipedia.org/wiki/Variance-gamma_distributionhttp://en.wikipedia.org/wiki/Pure_jump_processhttp://en.wikipedia.org/wiki/Diffusionhttp://en.wikipedia.org/wiki/Moment_(mathematics)http://en.wikipedia.org/wiki/L%C3%A9vy_processhttp://en.wikipedia.org/wiki/L%C3%A9vy_processhttp://en.wikipedia.org/wiki/Theory_of_probabilityhttp://en.wikipedia.org/wiki/Stochastic_processhttp://en.wikipedia.org/wiki/LIBOR_Market_Modelhttp://en.wikipedia.org/wiki/Heath%E2%80%93Jarrow%E2%80%93Morton_framework#cite_note-1http://en.wikipedia.org/wiki/Forward_ratehttp://en.wikipedia.org/wiki/Interest_rate


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http://en.wikipedia.org/wiki/Variance_gamma_processhttp://en.wikipedia.org/wiki/Heston_modelhttp://en.wikipedia.org/wiki/Finite_difference_methods_for_option_pricinghttp://en.wikipedia.org/wiki/Monte_Carlo_option_modelhttp://en.wikipedia.org/wiki/Binomial_options_pricing_modelhttp://en.wikipedia.org/wiki/Valuation_of_optionshttp://people.stern.nyu.edu/adamodar/pdfiles/option.pdf

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FD Option Pricing Jinay Jigar Vaibhav Jagdish Hitesh