'European call option' presentation slideshows

Mean-Reverting Models in Financial and Energy Markets

Mean-Reverting Models in Financial and Energy Markets. Anatoliy Swishchuk Mathematical and Computational Finance Laboratory, Department of Mathematics and Statistics, U of C Colloquium Thursday, March 31, 2005. Outline. Mean-Reverting Models (MRM): Deterministic vs. Stochastic

1.04k views • 66 slides

Fi8000 Valuation of Financial Assets

Fi8000 Valuation of Financial Assets. Spring Semester 2010 Dr. Isabel Tkatch Assistant Professor of Finance. Derivatives - Overview. Derivative securities are financial contracts that derive their value from other securities.

705 views • 57 slides

Session 9b

Session 9b. Overview. Finance Simulation Models Securities Pricing Black-Scholes Electricity Option Miscellaneous Monte Carlo vs. Latin Hypercube Review of Binomial. Finance Example.

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DERIVATIVES: FUTURES & OPTIONS (PRACTICAL ASPECTS)

DERIVATIVES: FUTURES & OPTIONS (PRACTICAL ASPECTS) . C.J.S.NANDA FCA. DERIVATIVE A product whose value is derived from the value of one or more basic variables, called bases (underlying asset, index or reference rate ), in a contractual manner. The underlying asset can be

678 views • 48 slides

Financial Analysis, Planning and Forecasting Theory and Application

Financial Analysis, Planning and Forecasting Theory and Application. Chapter 9 . Option and Option Strategies. By Alice C. Lee San Francisco State University John C. Lee J.P. Morgan Chase Cheng F. Lee Rutgers University. Outline. 9.1 Introduction

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CAS 2004 Spring Meeting Presentation of Proceedings Paper

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Properties of Stock Options

Properties of Stock Options. Chapter 10. Goals of Chapter 10. Discuss the factors affecting option prices Include the current stock price, strike price, time to maturity, volatility of the stock price, risk-free interest rate, and paid-out dividends

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6th Lecture 17th November 2003

6th Lecture 17th November 2003. Options. Basics. Option contract grants the owner the right but not the obligation to take some action (see previous lectures) Call - right to purchase underlying at strike price at (european) / until (american) specified maturity

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The Greek Letters

The Greek Letters. ILLUSTRATION. The financial institution has sold for $300,000 a European call option on 100,000 shares of a non-dividend-paying stock. S 0 = 49, K = 50, r = 5%, ?= 20%, T = 20 weeks (0.3846 years), ?=13% The Black-Scholes price of the option is about $240,000.

669 views • 32 slides

The Analysis of Volatility

The Analysis of Volatility. Historical Volatility. Volatility Estimation (MLE, EWMA, GARCH...). Maximum Likelihood Estimation. Implied Volatility. Smiles, smirks, and explanations. In the Black-Scholes formula, volatility is the only variable that is not directly observable in the market.

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The Arbitrage Theorem

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Option Pricing using Black-Scholes

Option Pricing using Black-Scholes. Lecture XXIX. The European Call Option. First, we construct the payoff function for a security on which the option is written as: where x j ( k ) is the payoff a share of security j purchased an exercise price of k . .

331 views • 22 slides

Mechanics of Options Markets Chapter 8

Mechanics of Options Markets Chapter 8. Types of Options. A call is an option to buy A put is an option to sell A European option can be exercised only at the end of its life An American option can be exercised at any time. Option Positions. Long call Long put Short call Short put.

301 views • 22 slides

Exotic Options

Aaron Bany May 21, 2013 BA 543-002 Financial Markets and Institutions. Exotic Options. What is an option?. A financial derivative that represents a contract sold by one party (writer) to another party (holder)

322 views • 20 slides

Exotic Options

Aaron Bany May 21, 2013 BA 543-002 Financial Markets and Institutions. Exotic Options. What is an option?. A financial derivative that represents a contract sold by one party (writer) to another party (holder)

366 views • 20 slides

Some Financial Mathematics

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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 .

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Explicit Option Pricing Formula for A Mean-Reverting Asset

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Capital Projects as Real Options: An Introduction

202 views • 9 slides