Sumários
The Black-Scholes fórmulas. Exercises.
14 Maio 2018, 10:00 • João Guerra
The Black-Scholes fórmulas.
Exercises on option pricing in the Black-Scholes model.
The Black-Scholes model
10 Maio 2018, 10:00 • João Guerra
The Black-Scholes models.
The solution of the Black-Scholes PDE by the Feynman-Kac formula and the Girsanov Theorem.
The risk-neutral valuation formula for pricing options and financial derivatives.
The risk-neutral or equivalent martingale measure Q.
Girsanov Theorem. The Black-Scholes model
7 Maio 2018, 10:00 • João Guerra
Change of probability measures. Equivalent probability measures.
The Girsanov theorem: for nomal random variables, for a Brownian motion with drift and the general version. Proof of the theorem for normal random variables and for the Brownian motion with drift.
The Black-Scholes PDE: how to obtain the equation using (i) the assumption of liquid market for the contigent claim (ii) using a replicating portfolio of the riskless asset and the underlying risky asset.