Derivatives: Markets, Valuation, and Risk Management

Index

30/360 fixed rate day-count fraction, 650

180-day barrier option, asset price path, 295

88888 account, 506

Accrued interest, 75, 869

Active index futures contracts, market value, 472

Adjusted R-squared, 847, 851

After-trading cost gain, 53

Aggregate rho, 356

Aggressive stocks, 827

Agricultural futures

options, introduction, 763

options, trading volume, 752

trading volume, 752

Agriculture, commodity derivatives, 751–758

All-or-nothing (AON) options, 261–267

risk measurement, 264–265

All-or-nothing (AON) order, 869

Alpha. See Jensen's alpha

Alps Air, 595–596

Amalgamated Wireless Australasia Ltd. (AWA Ltd.), risk management lesson, 575–587

American option. See American-style options

American Stock Exchange (AMEX), 16–17, 383, 384

adoption. See Exchange-traded funds

ETFs, trading activity, 493

information/data, 482

options, introduction, 605

SPDRs, 484, 487

shares, dollar value, 484

stocks, calendar days (median number), 394

webpage, 483

American-style call

early exercise, prospect identification. See Dividend-paying stock

lower price bound, 180–181, 191

value, computation, 417–418

American-style call option

early exercise, 181–182, 191–193

exact valuation. See Dividend-paying stock

exception, 303

exercise price, 417

lower price bound, examination, 181

valuation. See Dividend-paying stock

writing, 406

American-style futures options, valuation, 627

American-style FX put option, 323

values, 341

American-style knock-out FX put option, valuation (binomial method usage), 314

American-style options, 199, 869

no-arbitrage price ...