Sumários

The Black-Scholes model.

17 Novembro 2022, 11:30 • João Guerra

Some preliminary theory. Complete and incomplete markets. Girsanov theorem. 

Assumptions of the Black-Scholes models. 
The derivation of the Black-Scholes equation. 

Recombining binomial model

15 Novembro 2022, 11:30 • João Guerra

Recombining binomial model. Examples. Example of pricing an American option with the binomial model. 

Binomial model with n periods

10 Novembro 2022, 11:30 • João Guerra

Binomial model with n periods. The binomial model in R with the R package fOptions. Examples.

Put-call parity. Binomial model with one period and two periods.

8 Novembro 2022, 11:30 • João Guerra

Put-call parity. 

Binomial model with one period and two periods. 

Forward contracts, factors affecting option prices, lower and upper bounds for option prices

3 Novembro 2022, 11:30 • João Guerra

Forward and futures contracts. Basic definitions and pricing of forward contracts. Forward price. 

Factors affecting option prices: underlying price, strike, time until maturity, volatility, interest rate, dividends. 
Lower and upper bounds for option prices. 
American call options and American put options.