'Black scholes' presentation slideshows

The Greek Letters

The Greek Letters. Pricing Options. Both the Binomial Tree Approach and the Black Scholes approach produce the same option value as the number of steps in the Binomial tree becomes large.

1.34k views • 112 slides

Binomial Models

Binomial Models. Dr. San-Lin Chung Department of Finance National Taiwan University. In this lecture, I will cover the following topics: 1. Brief Review of Binomial Model 2. Extensions of the binomial models in the literature 3. Fast and accurate binomial option models

1.57k views • 111 slides

Financial Options

Financial Options. Topics in Chapter. What is a financial option? Options Terminology Profit and Loss Diagrams Where and How Options Trade? The Binomial Model Black-Scholes Option Pricing Model. 1. What is a financial option?.

1.43k views • 62 slides

Basic Numerical Procedures

Basic Numerical Procedures. Chapter 19. ??? ??? 2009/07/17. Approaches to Derivatives Valuation. Trees Monte Carlo simulation Finite difference methods. Binomial Trees. Binomial trees are frequently used to approximate the movements in the price of a stock or other asset

698 views • 41 slides

Chapter 21

Chapter 21. Option Valuation. Option Values. Intrinsic value - profit that could be made if the option was immediately exercised. Call: stock price - exercise price Put: exercise price - stock price Time value - the difference between the option price and the intrinsic value.

417 views • 33 slides

Option pricing: pre-analytics Lecture 5

Option pricing: pre-analytics Lecture 5. c : European call option price p : European put option price S 0 : Stock price today X : Strike price T : Life of option ? : Volatility of stock price. C : American Call option price P : American Put option price S T :Stock price at time T

464 views • 31 slides

The Black-Scholes Model Chapter 11 (sections 1-4, 6-12)

The Black-Scholes Model Chapter 11 (sections 1-4, 6-12). The Stock Price Assumption. We assume that stock prices follow a random walk Define the change in the stock price in time ? t is ? S. The return in time ? t is ? S/S Consider a stock whose price is S

452 views • 24 slides

Chapter 22

Lecture Presentation Software to accompany Investment Analysis and Portfolio Management Eighth Edition by Frank K. Reilly & Keith C. Brown. Chapter 22. Chapter 22 Option Contracts. Questions to be answered: How are options traded on exchanges and in OTC markets?

573 views • 24 slides

Stability of Financial Models

Stability of Financial Models. Anatoliy Swishchuk Mathematical and Computational Finance Laboratory Department of Mathematics and Statistics University of Calgary, Calgary, Alberta, Canada E-mail: aswish@math.ucalgary.ca Web page: http://www.math.ucalgary.ca/~aswish/. Talk

347 views • 24 slides

An Analysis of Dynamic Applications of Black-Scholes

Aileen Wang Period 5. An Analysis of Dynamic Applications of Black-Scholes. Purpose. Investigate Black-Scholes model Apply the B-S model to an American market Dynamic trading vs. fixed-time trading. What is option trading?. Option trading is a variation of market trading Calls and puts

304 views • 21 slides

Black Scholes Option Pricing Model

Black Scholes Option Pricing Model. Finance (Derivative Securities) 312 Tuesday, 10 October 2006 Readings: Chapter 12. Random Walk Assumption. Consider a stock worth S

459 views • 21 slides

COMPOUND OPTIONS

COMPOUND OPTIONS. Veronica Marchetti Martina Tognaccini. Compound Option. Description of the main features. Pricing Models. Greeks. Applications. Advantages and Disadvantages. What is a Compound Option ?. It is a particular kind of Exotic Options.

1.53k views • 21 slides

Slides by Matthew Will

Principles of Corporate Finance Brealey and Myers Sixth Edition. Real Options. Slides by Matthew Will. Chapter 21. Irwin/McGraw Hill. The McGraw-Hill Companies, Inc., 2000. Topics Covered. Real Options Follow Up Investments Abandon Wait Vary Output or Production Binomial Model.

286 views • 21 slides

Komatsu and the Farm and Construction Machinery Industry

Komatsu and the Farm and Construction Machinery Industry. Mod 9 John Rojo. The Company. Japanese manufacturer vehicles and machinery for construction, mining, and agriculture Includes excavators, backhoes, skid loaders, forest machines, forklifts, cutting lasers..

292 views • 15 slides

Monte Carlo: Option Pricing

329 views • 12 slides

Valuation and Risk Models

Valuation and Risk Models. By Shivgan Joshi http:// stockcreditfinancecfa.blogspot.in /. Content. Binomial trees Delta Hedging Coherent Risk Black Scholes Worst case distribution & Concept. Risk Neutral Approach using binomial tree. Binomial trees Single step model E sd *(t)^.5.

313 views • 12 slides

Volatility Adjustment (Full ) and Weighted Volatility Adjustment for the Black Scholes Model

Volatility Adjustment (Full ) and Weighted Volatility Adjustment for the Black Scholes Model. Michael Aussieker Oliver Grace Fredrik Jons ? ll. Model Inputs. Weighted Volatility Adjustment Implemented in the Black Scholes BSM (S 0 - D d , X-D 0 , T, ? Adj , r)

300 views • 11 slides

Derivatives

Derivatives. Lecture 20. Futures Options. Overview A Futures Contract on an Option The underlying asset is not a stock The underlying asset is a futures contract Call Futures Option Long Call = The right to long a futures contract Short Call = The obligation to short a futures contract

225 views • 10 slides

Similarities between Market Behavior and Network Traffic

215 views • 10 slides

286 views • 9 slides