1 / 5

Financial Risk Management

Financial Risk Management. Zvi Wiener Following P. Jorion, Financial Risk Manager Handbook. Chapter 6 Options. Following P. Jorion 2001 Financial Risk Manager Handbook. Assumptions of BS. The underlying price moves continuously Interest rates are known and constant

ronniep
Download Presentation

Financial Risk Management

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript


  1. Financial Risk Management Zvi Wiener Following P. Jorion,Financial Risk Manager Handbook FRM

  2. Chapter 6Options Following P. Jorion 2001 Financial Risk Manager Handbook FRM

  3. Assumptions of BS • The underlying price moves continuously • Interest rates are known and constant • The variance of returns is constant • Perfect capital markets • no transaction costs • short sales are allowed • markets operate continuously • price taking Zvi Wiener

  4. Zvi Wiener

  5. Exchange Option (Margrabe 78) r should be replaced by the difference of yields of the two assets. Zvi Wiener

More Related