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Option pricing models

Option pricing models. Objective. Learn to estimate the market value of option contracts. Outline. The Binomial Model The Black-Scholes pricing model. The Binomial Model.

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404 views • 29 slides

Hedging in the BOPM

Hedging in the BOPM. References: Neftci, Chapter 7 Hull, Chapter 11. The Binomial Model (from previous lecture example). A stock price is currently $20 In three months it will be either $22 or $18. Stock Price = $22. Stock price = $20. Stock Price = $18. The Call Option. Option tree: .

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301 views • 17 slides

Chapter 27

Chapter 27. Risk Management and Hedging. Hedging Foreign Exchange Risk. US firm wants to protect against a decline in profit that would result from a decline in the pound Estimated profit loss of $200,000 if the pound declines by $.10

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341 views • 15 slides

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Hedged portfolio - PowerPoint PPT Presentation

Option pricing models

Hedging in the BOPM

Chapter 27