Index

American Stock Exchange, 19
AMEX
seeAmerican Stock Exchange, 19
approximate Brownian Motion, 172
arbitrage, 13, 32, 33
arbitrage pricing, 32, 36
asset, 18
at the money, 265, 267

Bachelier process, 163
Bachelier, Louis, 10, 162
Bank for International Settlements, 15
Bank of International Settlements, 10
Bernoulli, Jacob, 126
Berry-Ess ́een Theorem, 139
binomial probability
cumulative distribution, 66
binomial model
single period, 74
binomial tree, 81, 82
birth processes, 60
birth-and-death process, 60
bisection search, 255
Black, Fisher, 12
Black-Scholes
option pricing model, 13
Black-Scholes equation
boundary condition, 225
terminal value problem, 225
Black-Scholes equation, 225
Black-Scholes model, 12

Black-Scholes pricing formula

call option, 231

put option, 240

bond, 74

bounded variation, 188

Boyle’s Law, 45

Brown, Robert, 162

Brownian Motion

with drift, 197

approximate, 172

continuity, 184

geometric, 198

Hausdorff dimension, 186

non-monotonicity, 185

nowhere differentiable, 184

oscillation, 185

scaled, 198

zero as accumulation point, 185

Brownian motion, 10, 11, 60, 162

calculator, 12

capital asset pricing model, 12

CAPM,seecapital asset pricing model

Cauchy-Euler equation,seeEuler equidi-

mensional equation

CBOE, see Chicago Board Options

Exchange

seeChicago Board Options Exchange,

19

CDO, 65, 68

Central Limit Theorem

278