R Code for Black-Scholes model

26 Novembro 2019, 11:00 • João Guerra

R Code examples for Balck-Scholes model: Calculating the Greeks, Option pricing by Monte-Carlo method, implied volatility and computation of implied volatilities. Implied volatility smile. 

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The Black-Scholes martingale approach

21 Novembro 2019, 11:30 • João Guerra

The Black-Scholes martingale approach under the Black-Scholes model. 

Delta-hedging and gamma-hedging. Examples. 

Delta Risk-neutral porfolio. 

R code for Black-Scholes model. 

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The Black-Scholes martingale approach

19 Novembro 2019, 11:00 • João Guerra

The Black-Scholes martingale approach.

The Risk-neutral valuation formula. Examples.

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Black-Scholes PDE

14 Novembro 2019, 11:30 • João Guerra

The Black-Scholes PDE approach. Derivation of the Black-Scholes PDE. 

The Black-Scholes formulas. 

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Black-Scholes model - preliminaries

12 Novembro 2019, 11:00 • João Guerra

Black-Scholes model - preliminaries.

Assumptions of Black-Scholes model. 

The Girsanov theorem. Thwe martingale representation theorem. 

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