Sumários

Black-Scholes model

21 Outubro 2025, 11:30 João Guerra

Black-Scholes model.

Black-Scholes PDE. 


Financial models in Continuous time- Girsanov theorem. Assumptions of the Black-Scholes model.

20 Outubro 2025, 12:00 João Guerra

Financial models in Continuous time.

Girsanov theorem.
Assumptions of the Black-Scholes model. 


Recombining binomial model and how to calculate price of American option with binomial model

14 Outubro 2025, 11:30 João Guerra

Recombining binomial model: definition and properties. 

How to estimate u and d from the volatility. 
The price deflator (or stochastic discount) approach. 
How to calculate the price of an American option with the recombining binomial model. Example. 


Binomial model

13 Outubro 2025, 12:00 João Guerra

General binomial model with 2 periods and n periods. The replicating portfolio. 

The risk-neutral measure. 
Hedging with the replicating portfolio. 


Put call parity, Forward contracts and introduction to the Binomial model

7 Outubro 2025, 11:30 João Guerra

Upper bounds for call and put option prices. 

Put-call parity relationship. 
Pricing forward contracts. 
Introduction to the one-period binomial model.