Transcription of Options: Valuation and (No) Arbitrage
{{id}} {{{paragraph}}}
Example: bankruptcy
Options: Valuation and (No) Arbitrage
Foundations of Finance: Options: Valuation and (No) Arbitrage Prof. Alex Shapiro Lecture Notes 15. Options: Valuation and (No) Arbitrage I. Readings and Suggested Practice Problems II. Introduction: Objectives and Notation III. No Arbitrage Pricing Bound IV. The Binomial Pricing Model V. The Black-Scholes Model VI. Dynamic Hedging VII. Applications VIII. Appendix Buzz Words: Continuously Compounded Returns, Adjusted Intrinsic Value, Hedge Ratio, Implied Volatility, Option's Greeks, Put Call Parity, Synthetic Portfolio Insurance, Implicit Options, Real Options 1. Foundations of Finance: Options: Valuation and (No) Arbitrage I. Readings and Suggested Practice Problems BKM, Chapter Suggested Problems, Chapter 21: 2, 5, 12-15, 22. II. Introduction: Objectives and Notation In the previous lecture we have been mainly concerned with understanding the payoffs of put and call options (and portfolios thereof) at maturity ( , expiration).
Foundations of Finance: Options: Valuation and (No) Arbitrage 3 • Notation S, or S0 the value of the stock at time 0. C, or C0 the value of a call option with exercise price X and expiration date T P or P0 the value of a put option with exercise price X and expiration date T
Loading..
Tags:
Information
Domain:
Source:
Link to this page:
Please notify us if you found a problem with this document: