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Option Pricing under Risk Neutral prob. Presented by Chun-Yuan Chiu 邱俊淵. Option Basic. Arbitrage. 因地、因時 Put-Call Parity : C – P + K = F. The Binomial Option Pricing Model. Replicate a call : h shares of stock + B dollars. The Binomial Option Pricing Model.

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option pricing under risk neutral prob

Option Pricingunder Risk Neutral prob.

Presented by Chun-Yuan Chiu

邱俊淵

arbitrage
Arbitrage
  • 因地、因時
  • Put-Call Parity:C– P + K = F
the binomial option pricing model
The Binomial Option Pricing Model
  • Replicate a call: h shares of stock + B dollars
the binomial option pricing model1
The Binomial Option Pricing Model
  • Value of h shares of stock + B dollars at t0 :
the binomial option pricing model2
The Binomial Option Pricing Model
  • Due to the Central Limit Theorem, the risk neutral probability are normally distributed
slide11

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