Strengths and weaknesses of th IVF Model The model matches the probability distribution of stock prices assumed by the market at each future time The models does not necessarily get the joint probability distribution of stock prices at two or more times correct Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 20.11 Strengths and Weaknesses of the IVF Model • The model matches the probability distribution of stock prices assumed by the market at each future time • The models does not necessarily get the joint probability distribution of stock prices at two or more times correct
20.12 Numerical procedures Topics Path dependent options using trees Lookback options Barrier options Options where there are two stochastic variables American options using monte carlo Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 20.12 Numerical Procedures Topics: • Path dependent options using trees • Lookback options • Barrier options • Options where there are two stochastic variables • American options using Monte Carlo