Archive for the General Category
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Finite difference methods for option pricing
Finite difference methods for option pricing are numerical methods used in mathematical finance for the valuation of options. Finite difference methods were first applied to option pricing by Eduardo Schwartz in 1977. Finite difference methods can
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Monte Carlo option model
The Monte Carlo Option Model was developed to compute the exact value of a particular option using Monte Carlo Methods, as termed by Stanislaw Ulam. Designed by Phelim Boyle, this model was implemented for the first time in the year 1977 for the purp
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Nifty Levels for 15th March 2010
Please find the correct levels for nifty The Nifty Levels for 15th March 2010 are First Resistance = 5169 First Support =5126 Second Resistance =5191 Second Support =5105 Breakout above = 5212 Break down Below =5083 The above levels are for i
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Binomial Options Pricing Model
This model is an options valuation method developed by Cox, et al, in 1979. The binomial option pricing model uses an iterative procedure, allowing for the specification of nodes, or points in time, during the time span between the valuation date
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Black-Scholes Model
The Black Scholes Model is one of the most important concepts in modern financial theory. It was developed in 1973 by Fisher Black, Robert Merton and Myron Scholes and is still widely used today, and regarded as one of the best ways of determining f
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Net volatility
Net volatility is the volatility implied by the price of an option spread trade involving two or more options. In other words, it is the volatility at which the theoretical value of the spread trade matches the price quoted in the market, or, in othe
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Nifty Levels for 12th March 2010
Please find the correct levels for nifty The Nifty Levels for 12th March 2010 are First Resistance = 5180 First Support =5122 Second Resistance =5199 Second Support =5083 Breakout above = 5238 Break down Below =5064 The above levels are for i
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Box Spread
A Box Spread is a dual option position involving a bull and bear spread with identical expiry dates. This investment strategy provides for minimal risk. Additionally, it can lead to an arbitrage position as an investor attempts to lock in a small ret
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Ratio Spread
A Ratio Spread is an options strategy in which an investor simultaneously holds an unequal number of long and short positions. A commonly used ratio is two short options for every option purchased. A ratio spread would be achieved by purchasing
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Ratio Backspreads
Ratio Backspreads is a Credit volatile options trading strategy that opens up one leg for unlimited profit through selling a smaller amount of in the money options against the purchase of at the money or out of the money options of the same type.
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Debit Spreads
A Debit Spread means two options with different market prices that an investor trades on the same underlying security. The higher priced option is purchased and the lower premium option is sold - both at the same time. The higher the debit spread
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