1. The Stock Market Facts and theories. 2. Shares and values :Introduction. Shares: Some words on history. Risk Sharing.Liquidity.Ownership rights / firms.Residual claimant,…
Slide 1Topics: Put-Call Parity American and European Options Properties Basic Binomial Tree Models Slide 2 1. Consider a European call option and a European put option on…
1. � � 1. Consider a 3-period model with t = 0, 1, 2, 3. There are a stock and a risk-free asset. The initial stock price is $4 and the stock price doubles with probability…
CFA Q & A CFA Q & A 14-06-2015 Ex pp59: A 1-year call option on Cross Reef Inc. with an exercise price of $60 is trading for $8.The current stock price is $62. The…
Slide 1 Chapter 3 Brownian Motion 3.2 Scaled random Walks Slide 2 3.2.1 Symmetric Random Walk To construct a symmetric random walk, we toss a fair coin (p, the probability…
Slide 1 1 Options on Stock Indices, Currencies, and Futures Chapters 15-16 Slide 2 2 European Options on Stocks Providing a Dividend Yield We get the same probability distribution…
Slide 1 1 The Greek Letters Chapter 17 Slide 2 2 Goals OTC risk management by option market makers may be problematic due to unique features of the options that are not available…
Evaluation and pricing of risk under stochastic volatility Giacomo Bormetti Scuola Normale Superiore, Pisa Agenda P versus Q: a brief overview of two branches of quantitative…