No. of figure | | | file | | data |
6th ed. | 1st ed. | | | | |
1.5 | 1.4 | | pdf | | Am. put, T=1, K=10, r=0.06, vola=0.3 |
1.6 | 1.5 | | pdf | | Eur. put, T=1, K=10, r=0.06, vola=0.3 |
-- | 1.5 | | pdf | | Eur. put, T=1, K=10, r=0.06, vola=0.3, extended to 3-d for 0 < t < 0.9 |
1.11 | 1.10 | | pdf | | Am. put, T=1, K=10, r=0.06, vola=0.3, binomial tree, M=32 |
1.18 | 1.16 | | pdf | | 10 paths of a geometric Brownian motion |
1.22 | 1.18 | | pdf | | lognormal densities |
1.26 | 1.20 | | pdf | | binomial tree with payoff |
-- | -- | | pdf | | Am. put, T=1, K=10, r=0.06, vola=0.1 (blue), 0.3 (green), 0.5 (red), for t=0 |
2.10 | -- | | pdf | | correlated two-component process, rho=0.85 |
Exercise | 2.3 | | pdf | | RANDU number generator, 1000 points seen under two different angles |
3.1 | -- | | pdf | | Monte Carlo illustration with 5 simulations, r=0, vola=0.2 |
3.6 | -- | | pdf | | simulating a 2D binary option |
3.7 | -- | | pdf | | 2D binary-option value function |
3.13 | -- | | pdf | | Monte Carlo setting for regression methods |
3.15 | -- | | pdf | | fictive regression situation |
4.5 | 4.5 | | pdf | | value of a put, schematically |
4.8 | 4.7 | | pdf | | early-exercise and other curves in the (S,t) decision plane |
4.9 | 4.8 | | pdf | | Am. call, T=1, K=10, r=0.25, vola=0.6, dividend flow=0.2 |
4.12 | -- | | pdf | | Crank-Nicolson approximation "at the corner" |
4.13 | 4.11 | | pdf | | Am. put, T=1, K=10, r=0.25, vola=0.6, , dividend flow=0.2 |
4.19 | -- | | pdf | | comparison of methods: costs over error |
4.20 | -- | | pdf | | approximation of an early-exercise curve |
5.8 | -- | | pdf | | assembling in 1D setting |
5.9 | -- | | pdf | | 2D hat function |
5.10 | -- | | pdf | | value function of a basket double barrier |
5.12 | -- | | pdf | | approximation spaces |
6.5/6.6 | 6.1/6.2 | | pdf | | Eur.call, T=1, K=13, r=0.15, vola=0.01, centered difference scheme |
6.8/6.9 | 6.4/6.5 | | pdf | | Eur.call, T=1, K=13, r=0.15, vola=0.01, upwind scheme scheme |
7.1 | -- | | pdf | | difference in value function due to transaction costs |
7.2 | -- | | pdf | | Avellaneda's uncertain volatility: butterfly spread |
7.3 | -- | | pdf | | Avellaneda's uncertain volatility: up-and-out barrier call |
App.E.1 | -- | | pdf | | bounding curves for standard options |