Sumários
The Black-Scholes model
12 Novembro 2015, 11:30 • João Guerra
The Black-Scholes model: the PDE approach.
The Black-Scholes partial differential equation (PDE).
The Black-Scholes formula for the call option.
The Risk-neutral valuation formula
The five step method for the Black-Scholes model
Example: Black-Scholes formula for the call option deduced from the risk-neutral valuation formula.
Martingale Representation Theorem. Black-Scholes model
10 Novembro 2015, 08:00 • João Guerra
Martingale representation theorem. Application to the Binomial model.
The 5 step method. Application to the Binomial model.
The Black-Scholes model main assumptions.
Recombining binomial model
9 Novembro 2015, 10:00 • João Guerra
Pricing american options using the binomial model. Example for an american put option.
Continuous time models.
Complete and incomplete models.
Change of measures.
Equivalent probability measures.
The Cameron-Martin-Girsanov theorem.
Binomial model
5 Novembro 2015, 11:30 • João Guerra
The Binomial model - the 2 period model and n-period model.
Examples.
The recombining Binomial model.
The state price deflator (or stochastic discount factor) approach.