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  "Title": "Functions and R Code to Accompany Derivatives Markets",
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    "assetjump",
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    "bsputimps",
    "bsputimpvol",
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    "calldownout",
    "calloncall",
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    "callupin",
    "callupout",
    "cashcall",
    "cashdicall",
    "cashdiput",
    "cashdocall",
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    "diput",
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    "geomavgpricecall",
    "geomavgpriceput",
    "geomavgstrike",
    "geomavgstrikecall",
    "geomavgstrikeput",
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    "greeks2",
    "mertonjump",
    "optionsoncall",
    "optionsonput",
    "putdownin",
    "putdownout",
    "putoncall",
    "putonput",
    "putperpetual",
    "putupin",
    "putupout",
    "quincunx",
    "simprice",
    "uicall",
    "uiput",
    "uocall",
    "uoput",
    "ur",
    "urdeferred"
  ],
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      "title": "Asian Monte Carlo option pricing",
      "concept": [
        "Asian"
      ],
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      ]
    },
    {
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      "concept": [
        "Asian"
      ],
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      ]
    },
    {
      "page": "asiangeomavg",
      "title": "Geometric average asian options",
      "concept": [
        "Asian"
      ],
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        "asiangeomavg",
        "geomavgprice",
        "geomavgpricecall",
        "geomavgpriceput",
        "geomavgstrike",
        "geomavgstrikecall",
        "geomavgstrikeput"
      ]
    },
    {
      "page": "barriers",
      "title": "Barrier option pricing",
      "concept": [
        "Barriers"
      ],
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        "assetdicall",
        "assetdiput",
        "assetdocall",
        "assetdoput",
        "assetuicall",
        "assetuiput",
        "assetuocall",
        "assetuoput",
        "barriers",
        "calldownin",
        "calldownout",
        "callupin",
        "callupout",
        "cashdicall",
        "cashdiput",
        "cashdocall",
        "cashdoput",
        "cashuicall",
        "cashuiput",
        "cashuocall",
        "cashuoput",
        "dicall",
        "diput",
        "docall",
        "doput",
        "dr",
        "drdeferred",
        "putdownin",
        "putdownout",
        "putupin",
        "putupout",
        "uicall",
        "uiput",
        "uocall",
        "uoput",
        "ur",
        "urdeferred"
      ]
    },
    {
      "page": "binom",
      "title": "Binomial option pricing",
      "topics": [
        "binom",
        "binomial",
        "binomopt",
        "binomplot"
      ]
    },
    {
      "page": "blksch",
      "title": "Black-Scholes option pricing",
      "topics": [
        "assetcall",
        "assetput",
        "blksch",
        "bscall",
        "bsput",
        "cashcall",
        "cashput"
      ]
    },
    {
      "page": "bondsimple",
      "title": "Simple Bond Functions",
      "topics": [
        "bondpv",
        "bondsimple",
        "bondyield",
        "convexity",
        "duration"
      ]
    },
    {
      "page": "compound",
      "title": "Compound options",
      "topics": [
        "binormsdist",
        "calloncall",
        "callonput",
        "compound",
        "optionsoncall",
        "optionsonput",
        "putoncall",
        "putonput"
      ]
    },
    {
      "page": "geomasianmc",
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      "concept": [
        "Asian"
      ],
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        "geomasianmc"
      ]
    },
    {
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      "title": "Calculate option Greeks",
      "topics": [
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        "greeks",
        "greeks2"
      ]
    },
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      "title": "Black-Scholes implied volatility and price",
      "topics": [
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        "bscallimpvol",
        "bsputimps",
        "bsputimpvol",
        "implied"
      ]
    },
    {
      "page": "jumps",
      "title": "Option pricing with jumps",
      "topics": [
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        "cashjump",
        "jumps",
        "mertonjump"
      ]
    },
    {
      "page": "perpetual",
      "title": "Perpetual American options",
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        "perpetual",
        "putperpetual"
      ]
    },
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      "title": "Quincunx simulation",
      "topics": [
        "quincunx"
      ]
    },
    {
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      "title": "Simulate asset prices",
      "topics": [
        "simprice"
      ]
    }
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    {
      "source": "derivmkts-vignette.Rmd",
      "filename": "derivmkts-vignette.pdf",
      "title": "Option Pricing Functions to Accompany Derivatives Markets",
      "author": "Robert McDonald",
      "engine": "knitr::rmarkdown",
      "headings": [
        "Introduction",
        "Pricing functions and greeks",
        "European Calls and Puts",
        "Barrier Options",
        "Perpetual American Options",
        "Option Greeks",
        "Binomial Pricing of European and American Options",
        "Asian Options",
        "Geometric Asian Options",
        "Arithmetic Asian Options",
        "Compound Options",
        "Definition of a Compound Option",
        "Examples",
        "Jumps and Stochastic Volatility",
        "Bonds",
        "Monte Carlo simulation of prices",
        "Long vs wide output",
        "Simulated price paths",
        "Multiple correlated stocks",
        "Negatively correlated assets",
        "Three correlated assets",
        "Functions with Graphical Output",
        "Quincunx or Galton Board",
        "Plotting the Solution to the Binomial Pricing Model",
        "References"
      ],
      "created": "2019-06-06 13:10:03",
      "modified": "2026-02-10 15:40:09",
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