Sumários
Black-scholes model: hedging and the continuous dividend case
18 Novembro 2013, 10:00 • João Guerra
The replication of a call in the context of a Black-Scholes model.
The Black-Scholes model with dividends.
The Black-Scholes model
12 Novembro 2013, 09:30 • João Guerra
The Black-Scholes model: assumptions, the Black-Scholes PDE, the Black-Scholes formula.
The PDE approach and the martingale approach. The 5-step method for the Black-Scholes model.
The replicating/hedging portfolio.
Preliminary concepts on time continuous models
11 Novembro 2013, 10:00 • João Guerra
Preliminary concepts on time continuous models.
The Cameron-Martin-Girsanov Theorem and the martingale Representation Theorem.
The 5-step method for pricing and hedging.