Next: Options with Transaction Costs
Previous: Numerical Methods
[WHD: Chapters 11, 12, 13, 14, and 15 up to section 6]
- Introduction to binaries, compounds, choosers, barriers, Asians, and
- Formulae for barrier options.
- A unifying framework for path-dependent options. Time-integrals of the
random walk. Jump conditions and discrete sampling.
- Asian options. Continuously sampled averages: arithmetic averaging,
geometric averaging. Similarity reductions. Continuously sampled average
strike options. Introduction to average rate options.
- Look-back options: continuous and discrete sampling of the maximum,
similarity reductions, numerics.