October 2006
Intermediate to advanced
960 pages
29h 1m
English
Content preview from Derivatives: Markets, Valuation, and Risk ManagementBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Index
30/360 fixed rate day-count fraction, 650
180-day barrier option, asset price path, 295
88888 account, 506
Active index futures contracts, market value, 472
After-trading cost gain, 53
Aggregate rho, 356
Aggressive stocks, 827
Agricultural futures
options, introduction, 763
options, trading volume, 752
trading volume, 752
Agriculture, commodity derivatives, 751–758
All-or-nothing (AON) options, 261–267
All-or-nothing (AON) order, 869
Alpha. See Jensen's alpha
Amalgamated Wireless Australasia Ltd. (AWA Ltd.), risk management lesson, 575–587
American option. See American-style options
American Stock Exchange (AMEX), 16–17, 383, 384
adoption. See Exchange-traded funds
ETFs, trading activity, 493
information/data, 482
options, introduction, 605
shares, dollar value, 484
stocks, calendar days (median number), 394
webpage, 483
American-style call
early exercise, prospect identification. See Dividend-paying stock
lower price bound, 180–181, 191
American-style call option
early exercise, 181–182, 191–193
exact valuation. See Dividend-paying stock
exception, 303
exercise price, 417
lower price bound, examination, 181
valuation. See Dividend-paying stock
writing, 406
American-style futures options, valuation, 627
American-style FX put option, 323
values, 341
American-style knock-out FX put option, valuation (binomial method usage), 314
American-style options, 199, 869
no-arbitrage price ...
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