'Binomial model' presentation slideshows

Real Options: Fact and Fantasy

Real Options: Fact and Fantasy. Aswath Damodaran. Underlying Theme: Searching for an Elusive Premium. Traditional discounted cashflow models under estimate the value of investments, where there are options embedded in the investments to Delay or defer making the investment (delay)

1.21k views • 93 slides

Topic 6

Topic 6. Binomal , DV01/PVBP , Duration, and Convexity. Estimating the Binomial Tree.

883 views • 66 slides

Chapter 18 Options Basics

993 views • 35 slides

Discrete Choice Modeling

Discrete Choice Modeling. William Greene Stern School of Business New York University. Part 8. Models for Count Data. Application: Major Derogatory Reports. AmEx Credit Card Holders N = 1310 (of 13,777) Number of major derogatory reports in 1 year Issues: Nonrandom selection

424 views • 30 slides

Financial Engineering

Financial Engineering. Lecture 3. Option Valuation Methods. Case 1 Stock price falls to $60 Option value = $0. Case 2 Stock price rises to $106.67 Option value = $26.67. Genentech call options have an exercise price of $80 and expire in one year. . Option Valuation Methods.

522 views • 29 slides

SHARE-BASED PAYMENT (SBP)

FRS 2. SHARE-BASED PAYMENT (SBP). FRS 2 :SBP. Issued 6/9/04 PLC Effective 1/1/05; Other 1/1/06. Introduction. What is Share-Based Payment? Where gds ( i.e. inventories, consumables , PPE , non finl asset etc ) & services ( i.e. provided by

421 views • 28 slides

Option Pricing

416 views • 23 slides

Currency Option Valuation

Currency Option Valuation. Option valuation involves the mathematics of stochastic processes. The term stochastic means random; stochastic processes model randomness. Myron Scholes and Fischer Black. Binomial Option Payoffs Valuing options prior to expiration.

487 views • 22 slides

Mathematics in Finance

Mathematics in Finance. Binomial model of options pricing. Derivatives - Options. Give the holder the right to buy or sell the underlying at a certain date for a certain price. (European options) Right to buy ? call option Right to sell ? put option Payoff function Cash settlement

321 views • 21 slides

Options on Stock Indices and Currencies

Options on Stock Indices and Currencies. Chapter 13. European Options on Stocks Paying Dividend Yields. We get the same probability distribution for the stock price at time T in each of the following cases: 1. The stock starts at price S 0 and provides a dividend yield = q

337 views • 21 slides

5-2 Probability Models

5-2 Probability Models. The Binomial Distribution and Probability Model. Binomial Experiments. Also called Bernoulli Experiments

306 views • 21 slides

Option Pricing Model

Option Pricing Model. Stephen Yan-leung Cheung Professor of Finance (Chair) Department of Economics and Finance City University of Hong Kong March 1, 2001. Two Main Pricing Models. Black-Scholes Model Binomial Model. 1. Black-Scholes Model. Option value is a function of: Stock price

406 views • 16 slides

Last lecture

Last lecture. Beta-binomial model All types of posterior inference one can make: mean, mode, variance, two types of credible intervals,etc. Prior predictive, posterior predictive Relationship between prior mean and posterior mean, prior variance & post var. Conjugate priors.

287 views • 16 slides

Option Pricing Models

282 views • 13 slides

Derivatives

Derivatives. Lecture 18. Option Valuation Methods. Case 1 Stock price falls to $60 Option value = $0. Case 2 Stock price rises to $106.67 Option value = $26.67. Genentech call options have an exercise price of $80 and expire in one year. Option Valuation Methods.

225 views • 13 slides

Chapter 16 Random Variables

Chapter 16 Random Variables. Random Variable Variable that assumes any of several different values as a result of some random event. Denoted by X Discrete (finite number of outcomes) Continuous Probability Model or Probability Distribution

530 views • 12 slides

Barrier option valuation with binomial model

Barrier option valuation with binomial model. Binomial model Barrier options Formulas Application. Barrier options. Down-and-out Down-and-in Up-and-out Up-and-in. Barrier levels. Down-and-out: H < K Down-and-in: H < K Up-and-out: H > K Up-and-in: H > K. Binomial Model.

483 views • 9 slides

Financial Markets

240 views • 8 slides

AP Statistics Review

398 views • 7 slides

Challenges in Modeling and Analyzing DNA Methylation Data

Challenges in Modeling and Analyzing DNA Methylation Data. Shili Lin Department of Statistics The Ohio State University. Challenges. How to assign/distribute a read to CpG sites to obtain inferred nucleotide resolution methylation (NTRM) data?

191 views • 4 slides