'Hedge portfolio' presentation slideshows

Option Pricing and Dynamic Modeling of Stock Prices

Option Pricing and Dynamic Modeling of Stock Prices. Investments 2003. Motivation. We must learn some basic skills and set up a general framework which can be used for option pricing. The ideas will be used for the remainder of the course. Important not to be lost in the beginning.

761 views • 63 slides

Jagannathan and Wang (1996)

743 views • 52 slides

Derivatives pricing when one cannot borrow at the risk free rate

Derivatives pricing when one cannot borrow at the risk free rate. S. Benaim and D. Kainth, QuaRC, RBS. Derivatives pricing when one cannot borrow at the risk free rate. Disclaimer: The views expressed here are those of the presenters and not necessarily those of RBS.

454 views • 36 slides

Review 1: Slope of Payoff Profile for Call

400 views • 32 slides

Chapter 12. Option Valuation Using Binomial Model

Chapter 12. Option Valuation Using Binomial Model. I. Overview of Option Valuation (Chapters 10 & 11) . A . Economic characteristics of an option that give it value. + - + + + - 1. Value of a Call = c = f(S, K, T, r, ? S , D ).

497 views • 22 slides

Chapter 12. Option Valuation Using Binomial Model

Chapter 12. Option Valuation Using Binomial Model. I. Overview of Option Valuation (Chapters 10 & 11) . A . Economic characteristics of an option that give it value. + - + + + - 1. Value of a Call = c = f(S, K, T, r, ? S , D ).

634 views • 22 slides

Deborah Lucas Northwestern University and NBER

243 views • 18 slides