Recombining Binomial model

7 Novembro 2019, 11:30 • João Guerra

Recombining Binomial model: examples. 

The deflator approach to Binomial model. 

R code for Binomial model option pricing. 

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The Binomial model

5 Novembro 2019, 11:00 • João Guerra

The two-period binomial model. 

How to price an American option using the Binomial model. 

Examples. 

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Introduction to the Binomial model

31 Outubro 2019, 11:30 • João Guerra

Exercise on the put-call parity relationship with dividends. 

The binomial model with one period (one time step). 

The no-arbitrage condition. 

The risk-neutral probability measure. 

The replicating portfolio and hedging. 

One example. 

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Bounds on option prices. Put-call parity

29 Outubro 2019, 11:00 • João Guerra

The effect of dividends on option prices. 

Lower and upper bounds for optios prices: European and American call options and put options. 

The put call parity relationship without dividends and with dividends. 

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Introduction to the valuation of derivative securities

24 Outubro 2019, 11:30 • João Guerra

Introduction to the valuation of derivative securities

Financial Derivatives: examples.

Call and put options: definitions and examples. 

 

Speculation and Hedging with call and put options: examples

Arbitrage. The no-arbitrage and law of one price. 

Factors that affect option prices. 

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