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a. American Option Pricing

    (1) Binomial and Numerical Methods

    (2) Closed-Form Solutions for Special Cases

    (3) Closed-Form Approximations

b. Term Structure Modeling and Interest Rate Option Pricing

    (1) Spot versus Forward Rate Models

    (2) The Local Expectations Hypothesis

    (3) Vasicek Model

    (4) Cox-Ingersoll-Ross Model

    (5) Longstaff-Schwartz Model

    (6) Ho-Lee Model

    (7) Hull-White Models

    (8) Black-Derman-Toy Model

    (9) Black-Karazinski Model

    (10) Heath-Jarrow-Morton Model

    (11) Brace-Gatarek-Musiela (LIBOR Market) Model

    (12) Spot versus Forward-Rate Models

    (13) Interest Rate Option Pricing with the Black Model

    (14) Closed-Form Solutions

    (15) Numerical/Binomial Methods

c. Exotic Options

    (1) Path-Independent versus Path-Dependent Exotics

    (2) Digital Options

    (3) Paylater and Contingent Options

    (4) Compound and Installment Options

    (5) Min-Max Options

    (6) Exchange Options

    (7) Forward Start Options

    (8) Quantos

    (9) Deferred Pay and Contingent Options

    (10) Chooser Options

    (11) Barrier Options

    (12) Lookback Options

    (13) Asian Options

    (14) Shout/Cliquet/Ladder/Lock-in Options

    (15) Volatility Options

    (16) Low-Exercise Price Options (LEPOs)

    (17) Occupation Time Options

    (18) Power Options

    (19) Capital Protection and Guaranteed Return Structures

d. Other Types of Options

    (1) Equity as an Option

    (2) Corporate Debt as an Option

    (3) Callable Bonds

    (4) Convertible Bonds

    (5) Equity-Linked Debt

    (6) Warrants

    (7) Real Options

    (8) Employee Options

    (9) Synthetics

e. The Role of Options in Understanding Credit Risk

    (1) Default as an Option and the Risk Structure of Interest Rates

    (2) Senior and Subordinated Debt

f. Option Prices and State Prices