BINOMIAL MODEL FOR EUROPEAN OPTIONS

6 Novembro 2018, 10:00 • Maria do Rosário Grossinho

Binomial model for European Options. Option Tree.

Consition expectation. Martingale property.

Exercises.

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BINOMIAL MODEL

5 Novembro 2018, 10:00 • Maria do Rosário Grossinho

Asset tree. Cox-Ross-Rubinstein condition. Payoff computations.

Exercises.

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BLACK-SCHOLES MODEL

30 Outubro 2018, 10:00 • Maria do Rosário Grossinho

Black-Scholes Formula (proof). Exercises

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BLACK-SCHOLES MODEL

29 Outubro 2018, 10:00 • Maria do Rosário Grossinho

Transformation of Black-Scholes equation into the heat equation.

Boundary conditions.

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BLACK-SCHOLES MODEL

23 Outubro 2018, 10:00 • Maria do Rosário Grossinho

European options. Black-Scholes equation.

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