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["Chapter 2 - The Binomial Method"]
[]
["Multiplicative Binomial Tree Valuation of a European Call"]
["K","T","S","r","N","u","d",null,null,null,null,null,"Function Result",null,"Correct Result",null,"Comment"]
[100,1,100,0.06,3,1.1000000000000001,0.90910000000000002,null,null,null,null,null,{"$f":"european_call_mbtv(A5,B5,C5,D5,E5,F5,G5)","v":10.145462154644788},null,10.145462154644788,null,"Textbook value differs because values are rounded to 4 decimals there"]
[]
["Multiplicative Binomial Tree Valuation of an American Put"]
["K","T","S","r","N","u","d",null,null,null,null,null,"Function Result",null,"Correct Result",null,"Comment"]
[100,1,100,0.06,3,1.1000000000000001,0.90910000000000002,null,null,null,null,null,{"$f":"american_put_mbtv(A9,B9,C9,D9,E9,F9,G9)","v":4.654346768684241},null,4.654346768684241,null,"Textbook value differs because values are rounded to 4 decimals there"]
[]
["General Additive Binomial Valuation of a European Call"]
["K","T","S","sig","r","N",null,null,null,null,null,null,"Function Result",null,"Correct Result"]
[100,1,100,0.2,0.06,3,null,null,null,null,null,null,{"$f":"european_call_gabv(A13,B13,C13,D13,E13,F13)","v":11.59199120790945},null,11.59199120790945]
[]
["General Additive Binomial Valuation of an American Put"]
["K","T","S","sig","r","N",null,null,null,null,null,null,"Function Result",null,"Correct Result"]
[100,1,100,0.2,0.06,3,null,null,null,null,null,null,{"$f":"american_put_gabv(A17,B17,C17,D17,E17,F17)","v":6.1621091990310015},null,6.1621091990310024]
[]
["Equal Jump General Additive Binomial Valuation of an American Put"]
["K","T","S","sig","r","N",null,null,null,null,null,null,"Function Result",null,"Correct Result"]
[100,1,100,0.2,0.06,3,null,null,null,null,null,null,{"$f":"american_put_ejgabv(A21,B21,C21,D21,E21,F21)","v":6.1621091990310051},null,6.1621091990310051]
[]
["General Additive Binomial Valuation of an American Down-and-Out Call"]
["K","T","S","sig","r","H","N",null,null,null,null,null,"Function Result",null,"Correct Result"]
[100,1,100,0.2,0.06,95,3,null,null,null,null,null,{"$f":"american_down_and_out_call_gabv(A25,B25,C25,D25,E25,F25,G25)","v":9.9957751026303967},null,9.9957751026303967]
[]
["American Spread Call Option by Two-variable Binomial"]
["K","T","S1","S2","sig1","sig2","div1","div2","rho","r","N",null,"Function Result",null,"Correct Result"]
[1,1,100,100,0.2,0.3,0.03,0.04,0.5,0.06,3,null,{"$f":"American_Spread_Call_Option_bTvB(A29,B29,C29,D29,E29,F29,G29,H29,I29,J29,K29)","v":10.044786532015712},null,10.044786532015712]
[]
["Chapter 3 - Trinomial Trees and Finite Difference Methods"]
[]
["European Call Option by Trinomial Tree"]
["K","T","S","sig","r","div","N","dx",null,null,null,null,"Function Result",null,"Correct Result"]
[100,1,100,0.2,0.06,0.03,3,0.2,null,null,null,null,{"$f":"European_Call_Option_bTT(A35,B35,C35,D35,E35,F35,G35,H35)","v":8.4253361772473792},null,8.4253361772473792]
[]
["European Call Option by Explicit Finite Difference Method"]
["K","T","S","sig","r","div","N","Nj","dx",null,null,null,"Function Result",null,"Correct Result"]
[100,1,100,0.2,0.06,0.03,3,3,0.2,null,null,null,{"$f":"European_Call_Option_bEFDM(A39,B39,C39,D39,E39,F39,G39,H39,I39)","v":8.5454795577743621},null,8.5454795577743621]
[]
["American Put Option by Explicit Finite Difference Method"]
["K","T","S","sig","r","div","N","Nj","dx",null,null,null,"Function Result",null,"Correct Result"]
[100,1,100,0.2,0.06,0.03,3,3,0.2,null,null,null,{"$f":"American_Put_Option_bEFDM(A43,B43,C43,D43,E43,F43,G43,H43,I43)","v":6.0058282143956188},null,6.0058282143956188]
[]
["American Put Option by Implicit Finite Difference Method"]
["K","T","S","sig","r","div","N","Nj","dx",null,null,null,"Function Result",null,"Correct Result"]
[100,1,100,0.2,0.06,0.03,3,3,0.2,null,null,null,{"$f":"American_Put_Option_bIFDM(A47,B47,C47,D47,E47,F47,G47,H47,I47)","v":4.9221178233996312},null,4.9221178233996312]
[]
["American Put Option by Crank-Ncolson Finite Difference Method"]
["K","T","S","sig","r","div","N","Nj","dx",null,null,null,"Function Result",null,"Correct Result"]
[100,1,100,0.2,0.06,0.03,3,3,0.2,null,null,null,{"$f":"American_Put_Option_bCNFDM(A51,B51,C51,D51,E51,F51,G51,H51,I51)","v":5.4183773373665858},null,5.4183773373665858]
[]
["Chapter 4 - Monte Carlo Simulation"]
[]
["European Call Option by Monte Carlo with Black-Scholes"]
["K","T","S","sig","r","div","N","M",null,null,null,null,"Function Result",null,"Correct Result"]
[100,1,100,0.2,0.06,0.03,10,100000,null,null,null,null,{"$f":"European_Call_bMCBS(A57,B57,C57,D57,E57,F57,G57,H57)","v":9.1063283361548404},null,"~9,1"]
[]
["European Call Option by Monte Carlo with Black-Scholes and Antithetic Variance Reduction"]
["K","T","S","sig","r","div","N","M",null,null,null,null,"Function Result",null,"Correct Result"]
[100,1,100,0.2,0.06,0.03,10,100000,null,null,null,null,{"$f":"European_Call_bMCBS_AVR(A61,B61,C61,D61,E61,F61,G61,H61)","v":9.1540527176545421},null,"~9,1"]
[]
["European Call Option by Monte Carlo with Black-Scholes and Delta-based Control Variate"]
["K","T","S","sig","r","div","N","M",null,null,null,null,"Function Result",null,"Correct Result",null,"Comment"]
[100,1,100,0.2,0.06,0.03,10,100000,null,null,null,null,{"$f":"European_Call_bMCBS_DCV(A65,B65,C65,D65,E65,F65,G65,H65)","v":9.1358590364420298},null,"~9,1",null,"Textbook does not provide Black-Scholes Delta Function"]
[]
["European Call Option by Monte Carlo with Black-Scholes and Antithetic and Delta-based Control Variates"]
["K","T","S","sig","r","div","N","M",null,null,null,null,"Function Result",null,"Correct Result",null,"Comment"]
[100,1,100,0.2,0.06,0.03,10,100000,null,null,null,null,{"$f":"European_Call_bMCBS_ADCV(A69,B69,C69,D69,E69,F69,G69,H69)","v":9.1349379086188325},null,"~9,1",null,"Textbook does not provide Black-Scholes Delta Function"]
[]
["European Call Option by Monte Carlo with Black-Scholes and Antithetic, Delta- and Gamma- based Control Variates"]
["K","T","S","sig","r","div","N","M",null,null,null,null,"Function Result",null,"Correct Result",null,"Comment"]
[100,1,100,0.2,0.06,0.03,10,100000,null,null,null,null,{"$f":"European_Call_bMCBS_ADGCV(A73,B73,C73,D73,E73,F73,G73,H73)","v":9.1380023454436135},null,"~9,1",null,"Textbook does not provide Black-Scholes Delta Function"]
[]
["European Spread Call Option by Monte Carlo with Black-Scholes"]
["K","T","S1","S2","sig1","sig2","div1","div2","rho","r","N","M","Function Result",null,"Correct Result"]
[1,1,100,110,0.2,0.3,0.03,0.04,0.5,0.06,1,100000,{"$f":"European_Spread_bMCBS(A77,B77,C77,D77,E77,F77,G77,H77,I77,J77,K77,L77)","v":6.5724318229095795},null,"~6,5"]
[]
["European Spread Call Option by Monte Carlo with Black-Scholes and Stochastic Volatilities"]
["K","T","S1","S2","sig1","sig2","div1","div2","rhoz",null,null,null,"Function Result",null,"Correct Result",null,"Comment"]
[1,1,100,110,0.2,0.3,0.03,0.04,1,0.5,0.2,0.01,{"$f":"European_Spread_bMCBS_SV(A81,B81,C81,D81,E81,F81,G81,H81,A83,B83,C83,D83,E83,F83,I81:L84,G83,A85,B85)","v":7.808649776441583},null,"~7,0389",null,"Textbook does not provide function"]
["alpha1","alpha2","Vbar1","Vbar2","xi1","xi2","r",null,{"$f":"J81","v":0.5},1,0.01,0.3,null,null,null,null,"generate_correlated_normals"]
[1,2,0.04,0.09,0.05,0.06,0.06,null,{"$f":"K81","v":0.2},{"$f":"K82","v":0.01},1,0.3]
["N","M",null,null,null,null,null,null,{"$f":"L81","v":0.01},{"$f":"L82","v":0.3},{"$f":"L83","v":0.3},1]
[10,10000]
[]
["European Down and Out Call Option by Monte Carlo with Black-Scholes"]
["K","T","S","sig","r","div","H","N","M",null,null,null,"Function Result",null,"Correct Result"]
[100,1,100,0.2,0.06,0.03,99,10,100000,null,null,null,{"$f":"European_Down_and_Out_Call_bMCBS(A89,B89,C89,D89,E89,F89,G89,H89,I89)","v":5.0567277711472913},null,"~5"]