Sumários
Black-Scholes formula and exercises
15 Maio 2019, 12:30 • João Guerra
Derivation of the Black-Scholes formula for a call option.
Exercises about the application of the risk-neutral valuation formula and about the price dynamics under the equivalent martingale measure Q.
Black-Scholes model and risk neutral valuation
13 Maio 2019, 10:00 • João Guerra
Derivation of the Black-Scholes PDE using a replication portfolio. The Delta and the replication portfolio.
The Feynman-Kac formula, the Girsanov theorem and the derivation of the risk neutral valuation formula for pricing options and financial derivatives.
Example: the log contract.
The Girsanov Theorem. Introduction to Black-Scholes model
8 Maio 2019, 12:30 • João Guerra
Changes of measures and equivalent measures.
The Girsanov Theorem - Versions 1 and 2.
Introduction to Black-Scholes model.
Derivation of the Black-Scholes PDE using portfolios based on derivative contracts and shares of stock.