'Option prices' presentation slideshows

Chapter 15: Options and Contingent Claims

Chapter 15: Options and Contingent Claims. Objective To show how the law of one price may be used to derive prices of options To explore the range of financial decisions that can be fruitfully analyzed in terms of options. How Options Work Investing with Options

1.26k views • 86 slides

Corporate Finance Ross ? Westerfield ? Jaffe

Chapter Twenty Two. 22. Options and Corporate Finance: Basic Concepts. Corporate Finance Ross ? Westerfield ? Jaffe. Sixth Edition. Prepared by Gady Jacoby University of Manitoba and Sebouh Aintablian American University of Beirut. 22.1 Options 22.2 Call Options 22.3 Put Options

937 views • 68 slides

Bruno DUPIRE Bloomberg Quantitative Research

Bruno DUPIRE Bloomberg Quantitative Research. Arbitrage, Symmetry and Dominance. NYU Seminar New York 26 February 2004 . Background. REAL WORLD:. MODEL:. anything can happen. stringent assumption. 1 possible price,. infinite number of possible. 1 perfect hedge. prices,.

637 views • 49 slides

Break Even Volatilities Dr Bruno Dupire Dr Arun Verma Quantitative Research, Bloomberg LP

Break Even Volatilities Dr Bruno Dupire Dr Arun Verma Quantitative Research, Bloomberg LP. Theoretical Skew from Prices. ? =>. Problem : How to compute option prices on an underlying without options? For instance : compute 3 month 5% OTM Call from price history only.

970 views • 37 slides

Options

Options. Spring 2007 Lecture Notes 4.6.1 Readings:Mayo 28. Goals. Definitions Options Call option Put option Option strategies. Derivatives: Definition. Derivative : Any security whose payoff depends on any other security. Goals. Definitions Options Call option Put option

570 views • 34 slides

Options Trading as a Game

Options Trading as a Game. And Options Market-Making on an Exchange Floor. Reality, NOT Theory Mike Lipkin , American Stock Exchange and Katama Trading, LLC. Dynamics : Everything on the Screen is time-varying at high-frequency .

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LEADING IN TURBULENT TIMES

512 views • 33 slides

OPTIONS PRICING AND HEDGING WITH GARCH

503 views • 32 slides

Lecture Presentation Software to accompany Investment Analysis and Portfolio Management Eighth Edition by Frank K. Rei

Lecture Presentation Software to accompany Investment Analysis and Portfolio Management Eighth Edition by Frank K. Reilly & Keith C. Brown. Chapter 20. Chapter 20 - An Introduction to Derivative Markets and Securities. Questions to be answered:

426 views • 31 slides

A New Simple Square Root Option Pricing Model Antonio Camara & Yaw-Huei Wang

A New Simple Square Root Option Pricing Model Antonio Camara & Yaw-Huei Wang. Yaw-Huei Wang Associate Professor Department of Finance National Taiwan University. Introduction. The option pricing model of Black and Scholes (1973) is among the most important works in finance theory.

356 views • 26 slides

CHAPTER NINETEEN Options

Cleary / Jones Investments: Analysis and Management. CHAPTER NINETEEN Options. Learning Objectives. To define options and discuss why they are used To describe how options work and give some basic strategies To explain the valuation of options

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Numerical option pricing in the Barndorff-Nielsen - Shephard stochastic volatility model.

Numerical option pricing in the Barndorff-Nielsen - Shephard stochastic volatility model. Martin Groth Centre of Mathematics for Applications University of Oslo Joint work with Fred Espen Benth. The Model.

326 views • 20 slides

Forward-Looking Market Risk Premium

Forward-Looking Market Risk Premium. Weiqi Zhang National University of Singapore Dec 2010. Estimating risk premium Historical average of realized excess returns Backward-looking The risk premium estimate can be negative even using an estimation period of 10 years (from 1973 to 1984)

347 views • 19 slides

Monte-Carlo Simulations

Monte-Carlo Simulations. Seminar Project. Task. To Build an application in Excel/VBA to solve option prices. Use a stochastic volatility in the model. Plot the histogram of the outcome and calculate the probability to reach the strike. . Introduction .

486 views • 17 slides

Monte-Carlo Simulations

Monte-Carlo Simulations. Seminar Project. Task. To Build an application in Excel/VBA to solve option prices. Use a stochastic volatility in the model. Plot the histogram of the outcome and calculate the probability to reach the strike. . Introduction .

438 views • 17 slides

Prices of State Contingent Claims implicit in Option Prices

Prices of State Contingent Claims implicit in Option Prices. Douglas T Breeden & Robert H Litzenberger , The Journal of Business, 1978 By Aditya M Kashikar and Meng Tian. Central Idea. Time-state preference model, multiperiod economy

248 views • 14 slides

DERIVATIVE MARKETS

DERIVATIVE MARKETS. 2.1. Forward Markets 2.2. Futures Markets 2.3. Options FORWARD MARKETS: A forward contract is an agreement between a bank and its client to buy or sell a financial asset for a delivery on a future date at a predetermined price. Pricing Forwards.

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Futures

Futures. Seller guarantees delivery of something at a set price for a fixed period of time (usually <90 days) Buyer can demand delivery at price until contract expires If spot price is below contracted price, seller benefits; seller is said to be SHORT

256 views • 13 slides

Car Rental Manchester-cheap and Prestigious Car-Van Hire

Car rental Manchester Company provides all types of luxury and cheap car hire at Manchester. Book all prestigious cars and vans and save your money and time.

209 views • 4 slides

Historical Option Prices

We carry end of day historical option prices history for all U.S. Equity options including stocks, Indexes and ETFs. Our bulk history begins in 2002, and SPX data in 1990. https://www.historicaloptiondata.com/content/historical-options-prices

176 views • 4 slides