Binomial model

14 Novembro 2016, 10:00 • João Guerra

Binomial model: the n period case. 

The recombining binomial model: the n period recombining binomial model. 

The estimation of u and d from the volatility of the lognormal model.

The state deflator or stochastic discount factor approach. 

 

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The Binomial model

10 Novembro 2016, 11:30 • João Guerra

The Binomial model: the one period model and the two period model. 

The risk-neutral probability measure and the risk-neutral valuation formula. 

Examples. 

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Bounds on option prices and put-call parity

7 Novembro 2016, 10:00 • João Guerra

Lower and upper bounds on option prices. 

Put-call parity relationship. 

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Forward contracts

3 Novembro 2016, 11:30 • João Guerra

Factors that affect Option prices. 

Forward contracts and forward price. 

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Introduction to options and financial derivatives

31 Outubro 2016, 10:00 • João Guerra

Introduction to options and financial derivatives: 

examples, terminology. 

Principle of no arbitrage and law of one price. 

Examples of speculation, hedging and arbitrage using options. 

 

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