Index
act/360 day count convention, concepts
act/365 day count convention, concepts
admissible trading strategies
concepts
definition
admissible volatility surfaces, concepts
American FX options
concepts
definition
LMUV
pricing
stochastic volatility models
volatility smiles
analytical approximation, concepts
approximated implied volatilities, vanna-volga approach
arbitrage strategy
barrier options
outright contracts
volatility surfaces
arbitrage-free prices, concepts
Asian options
see also exotic FX . . .
concepts
definition
pricing
asset classes
asset-or-nothing valuations
asymmetric volatility smiles see volatility skew
asymptotic behaviour ofimplied volatilities
at-expiry barrier options
see also double-touch . . . ; one-touch . . .
concepts
definition
pricing
at-hit barrier options
see also double-touch . . . ; one-touch . . .
concepts
definition
at-the-money (ATM), concepts
ATM straddles (STDLs)
bid/ask spreads
concepts
critique
real market situations
risk management tools
volatility smiles
volatility surfaces
attainable claims, concepts
AUD (Australian dollar)
auto-quanto options
concepts
definition
pricing
vanna-volga approach
BA see bid/ask spreads
Bachelier model
bankruptcy
banks
barrier options
see also double . . . ; exotic FX . . . ; no-touch . . . ; one-touch . . . ; reverse . . .
arbitrage strategy
bid/ask spreads
Black-Scholes options pricing model
cash settlement
concepts
constant barriers
definition
delayed settlement dates
delta hedging
diffusion equation under ...
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