Contents

Preface.

Part 1 Elements of Option Theory.

Fundamentals.

Option Basics.

Stock Price Distribution.

Principles of Option Pricing.

The Black Scholes Method.

American Options.

Part 2 Numerical Methods.

The Binomial Model.

Numerical Solutions of the Black Scholes Equation.

Variable Volatility.

Monte Carlo.

Part 3 Applications: Exotic Options.

Simple Exotics.

Two Asset Options.

Currency Translated Optons.

Options on One Asset at Two Points in Time.

Barriers: Simple European Options.

Barriers: Advanced Options.

Asian Options.

Passport Options.

Part 4 Stochastic Theory.

Arbitrage.

Discrete Time Models.

Brownian Motion.

Transition to Continuous Time.

Stochastic Calculus.

Equivalent Measures.

Axiomatic Option Theory.

Mathematical Appendix.

Bibliography and References.

Index.

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