Related Research

OptionRisk.pdf

Risk_of_ruin.pdf

OptionReturns.pdf

Bondarenko-Puts.pdf

Books

Options, Futures and Other Derivatives 7th Ed. by John C. Hull (Amazon Link)

Related Software

DerivaGem (John Hull)

Data

S&P 500 Historical Data (10yrs)

CBOE VIX Historical Data (10yrs)

LIBOR Historical Rates (20yrs) (Posted 10.14.2009)

Sample Data File (1 Year of SP500 & CBOE VIX Data for 2008) (Posted 10.10.2009)

Sample LIBOR Data File (1 Year of 1 month LIBOR Rates for 2008) (Posted 10.14.2009)

Ten Year Sample Data File (SP500 & CBOE VIX from 1999-2009) (Posted 10.18.2009)

Ten Year Sample Libor Data File (1999-2009) (Posted 10.18.2009)

Matlab Code

Final code delivered to sponsor 12.18.2009