Week 4 Flashcards
What is an option?
What is the Wiener process?
How to calculate a differential equation using the Euler scheme?
How to simulate a Wiener process?
What is Brownian motion?
How to simulate Brownian motion?
What is Geometric Brownian Motion?
How to simulate Geometric Brownian Motion?
How to exactly simulate GBM?
What is the Ornstein-Uhlenbeck Process?
How to simulate the Ornstein-Uhlenbeck Process?
What is the OU-process used for?
What is the Jump Diffusion Process?
How to simulate a jump diffussion process using a Euler scheme?
What is the GBM used for?
What are some intrest rates models?
What is a Volatility Model?
How does a European Option work?
What is the Arbitrage-free concept?
What is the Binomial Tree model?
How is a single time period modeled in Binomial Tree modelling?
How is a multi-period binomial tree model solved?
How to use financial models under a risk-free measure?
What is an Asian option?
An Asian option (or average value option) is a special type of option contract. For Asian options the payoff is determined by the average underlying price over some pre-set period of time. This is different from the case of the usual European option and American option, where the payoff of the option contract depends on the price of the underlying instrument at exercise; Asian options are thus one of the basic forms of exotic options.
How is the price of a European option or Asian option calculated?
How are American or Bermudan options priced?
How is a Spread option priced?
How is a Barrier option priced?
How is a Look-back option priced?
How is a zero-coupon bond priced?
How are option prices simulated?
How is a European call option simulated?
