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· 분류 : 국내도서 > 대학교재/전문서적 > 경상계열 > 경영학
· ISBN : 9788961055024
· 쪽수 : 387쪽
목차
1. Introduction; 2. Option valuation preliminaries; 3. Random variables; 4. Computer simulation; 5. Asset price movement; 6. Asset price model: part I; 7. Asset price model: part II; 8. Black뻊choles PDE and formulas; 9. More on hedging; 10. The Greeks; 11. More on the Black뻊choles formulas; 12. Risk neutrality; 13. Solving a nonlinear equation; 14. Implied volatility; 15. The Monte Carlo method; 16. The binomial method; 17. Cash-or-nothing options; 18. American options; 19. Exotic options; 20. Historical volatility; 21. Monte Carlo part II: variance reduction by antithetic variates; 22. Monte Carlo part III: variance reduction by control variates; 23. Finite difference methods; 24. Finite difference methods for the Black뻊choles PDE