The Binomial model

10 Novembro 2017, 12:00 • João Guerra

The Binomial model - the two-period model and the n-period model. Examples of pricing options with these models. 

The recombining binomial model. Example. 

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Lecture will be Friday, November 11

9 Novembro 2017, 11:30 • João Guerra

Lecture postponed to Friday, November 11 at 12:00. 

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The put-call parity. The binomial model

6 Novembro 2017, 11:30 • João Guerra

Lower and upper bounds for option prices. 

The put call parity relationship. 

The Binomial model: assumptions, the no-arbitrage condition and the one-period model.

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Factors affecting option prices. Forward contracts

2 Novembro 2017, 11:30 • João Guerra

Factors affecting option prices: the underlying price, strike, time to expiry, volatility, interest rate and dividend income. 

Forward contracts and forward price. 

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Options - an introduction

30 Outubro 2017, 11:30 • João Guerra

Introduction to options. 

Options: call options, put options. Definitions and examples. 

Types of trading: speculative, Arbitrage and hedging. 

The no-arbitrage assumption and the law of one-price. 

 

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