Introduction to Monte Carlo method

26 Novembro 2019, 10:00 • Onofre Simões

Lattice methods for valuing financial derivatives - Trinomial Option Pricing Trees

10. Introduction to Monte Carlo method

10.1 Introduction

10.2 The Monte Carlo method

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Written Assessment

21 Novembro 2019, 10:00 • Maria do Rosário Grossinho

Written Assessment on the whole studied subject.

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Binomial Model for Option Pricing

19 Novembro 2019, 10:00 • Maria do Rosário Grossinho

Binomial model for American Options. Optimal stop - exercise before maturity.

 

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Binomial Model for Option Pricing

14 Novembro 2019, 10:00 • Maria do Rosário Grossinho

Binomial Model for European Options. Contruction of asste and option trees. Cox Ross Rubinstein condition. Exercises

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Binomial Model for Option Pricing

12 Novembro 2019, 10:00 • Maria do Rosário Grossinho

Binomial model: conceptual ideas; computation of p, u and d. Asset and option trees.

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