Sumários

Martingale approach -the five step method

27 Novembro 2014, 11:30 João Guerra

Martingale approach -the five step method - in the Black-Scholes model.

Replicating portfolio.

Delta hedging and Delta hedging portfolio.

The Greeks: the delta and the gamma.

A portfolio with zero delta.

A portfolio with zero delta and zero gamma.


Risk neutral valuation and martingale approach in the Black-Scholes model

24 Novembro 2014, 10:00 João Guerra

Black-Scholes model:

_Risk-neutral valuation formula

_The five step method

_Replicating portfolio

_Delta

_Delta Hedging

_Example: Black-Scholes formula for the call option deduced from the risk-neutral valuation formula.

_Example: a digital option

 


Black-Scholes model: the PDE approach

20 Novembro 2014, 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.

 


Continuous time, models, complete and incomplete models

17 Novembro 2014, 10:00 João Guerra

Continuous time models.

Complete and incomplete models.

Change of measures.

Equivalent probability measures.

The Cameron-Martin-Girsanov theorem.

The Black-Scholes model. Assumptions.

 


The recombining Binomial model and the state price deflator approach

13 Novembro 2014, 11:30 João Guerra

The recombining Binomial model.

The state price deflator (or stochastic discount factor) approach.

Pricing american options using the binomial model. Example for an american put option.