Sumários
Exotic option pricing by Monte-Carlo. Stochastic volatility models. Exam exercises.
29 Novembro 2022, 09:30 • João Guerra
Exotic option pricing by the Monte-Carlo method.
Brief introduction to Lévy stochastic volatility models. Example: use of the CIR model for the time change.
Discussion of some exam exercises.
Formulas for pricing European call options on Lévy market models and calibration of Lévy market models
24 Novembro 2022, 13:30 • João Guerra
Formulas for pricing European call options on Lévy market models using the characteristic function of Log(S_T) under the risk neutral measure.
Calibration of Lévy market models: brief description.
Exercises on the application of Ito formula for Lévy-type stochastic integrals.
Esscher transform martingale measure, basic option pricing in Lévy market models and arbitrage free models
22 Novembro 2022, 09:30 • João Guerra
Esscher transform martingale measure.
Basic option pricing in Lévy market models.
Arbitrage free Lévy market models. Examples.
Exercises.
Complete and incomplete markets
17 Novembro 2022, 13:30 • João Guerra
The stochastic exponential.
Exponential martingales.
Complete and incomplete markets. The meta-theorem.
Equivalent martingale condition in Lévy market models.