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Financial Risk Management

Financial Risk Management. Zvi Wiener Following P. Jorion, Financial Risk Manager Handbook. Chapter 6 Options. Following P. Jorion 2001 Financial Risk Manager Handbook. Assumptions of BS. The underlying price moves continuously Interest rates are known and constant

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Financial Risk Management

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  1. Financial Risk Management Zvi Wiener Following P. Jorion,Financial Risk Manager Handbook FRM

  2. Chapter 6Options Following P. Jorion 2001 Financial Risk Manager Handbook FRM

  3. Assumptions of BS • The underlying price moves continuously • Interest rates are known and constant • The variance of returns is constant • Perfect capital markets • no transaction costs • short sales are allowed • markets operate continuously • price taking Zvi Wiener

  4. Zvi Wiener

  5. Exchange Option (Margrabe 78) r should be replaced by the difference of yields of the two assets. Zvi Wiener

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