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.