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Saturday, April 11, 2015

option math : thin -> thick -> thin

Many topics I may have to give up for lack of bandwidth. For the rest of the topics, let's try to grow the "book" from thin to thick then to thin.

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+ PCP

+ delta hedging

+ graphs of greeks

+ arbitrage constraints on prices of European calls, puts etc. Intuition to be developed

+ basic strategies like straddle                     

 

LG American options

LG GBM

LG binary options but ..

+ Roger's summary on N(d1) and N(d2)

LG div

LG most of the stoch calc math but ..

LG vol surface models

+ some of the IV questions on martingale and BM