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Scholes option pricing model - PowerPoint PPT Presentation

OptionsIQ

OptionsIQ

OptionsIQ. Montgomery Investment Technology, Inc. Financial Modeling Software and Consulting. BASIC TOPICS: Option Contracts Defined Intrinsic and Time Value Type of Options Theoretical or Fair Value Volatility The Black-Scholes Option Pricing Model The Binomial Method of Pricing Options

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1.51k views • 128 slides
Option Valuation

Option Valuation

16. Option Valuation. Learning Objectives. Make sure the price is right by making sure that you have a good understanding of: 1. How to price options using the one-period and two-period binomial models. 2. How to price options using the Black-Scholes model.

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689 views • 59 slides
Economics 349 Intermediate Micro Theory

Economics 349 Intermediate Micro Theory

Economics 349 Intermediate Micro Theory. Fall 2007 Dr. Delemeester. Course Essentials. Course Web Page www.marietta.edu/~delemeeg/econ349 Grade Exams (60%) Problem Sets (25%) Spreadsheet Projects (15%). Economic Roundtable.

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660 views • 50 slides
Option pricing /Leasing contract

Option pricing /Leasing contract

Option pricing /Leasing contract. The Binomial Option Pricing Model (BOPM). option valuation We begin with a single period . Finding the risk neutral probability In a risk neutral world, all assets have risk free returns.

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642 views • 49 slides
Chapter 6

Chapter 6

Chapter 6. The Black-Scholes Option Pricing Model. Outline. Introduction The Black-Scholes option pricing model Calculating Black-Scholes prices from historical data Implied volatility Using Black-Scholes to solve for the put premium Problems using the Black-Scholes model. Introduction.

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842 views • 45 slides
Lecture 10

Lecture 10

Lecture 10. Financial Option Berk , De Marzo Chapter 20 and 21. Basic Concepts. Financial Option : A contract that gives its owner the right (but not the obligation) to purchase or sell an asset at a fixed price as some future date

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533 views • 44 slides
Financial Engineering

Financial Engineering

Financial Engineering. Lecture 2. Option Review. Options Review. Option - Gives the holder the right to buy or sell a security at a specified price during a specified period of time. Call Option - The right to buy a security at a specified price within a specified time.

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547 views • 42 slides
Handbook of Quantitative Finance and Risk Management

Handbook of Quantitative Finance and Risk Management

Handbook of Quantitative Finance and Risk Management. Edited by Cheng-Few Lee Rutgers University Alice C. Lee San Francisco State University. This handbook expects to be published by Springer by January 2009. Please send all comments and suggestions to C.F. Lee at lee@rbsmail.rutgers.edu.

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445 views • 34 slides
Slides by Matthew Will

Slides by Matthew Will

Principles of Corporate Finance Brealey and Myers Sixth Edition. Spotting and Valuing Options. Slides by Matthew Will. Chapter 20. Irwin/McGraw Hill. The McGraw-Hill Companies, Inc., 2000. Topics Covered. Calls, Puts and Shares Financial Alchemy with Options

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457 views • 33 slides
Derivatives

Derivatives

Derivatives. Lecture 16. Option Value. Components of the Option Price 1 - Underlying stock price 2 - Striking or Exercise price 3 - Volatility of the stock returns (standard deviation of annual returns) 4 - Time to option expiration 5 - Time value of money (discount rate). Option Value.

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427 views • 30 slides
CHAPTER 8 Financial Options and Their Valuation

CHAPTER 8 Financial Options and Their Valuation

CHAPTER 8 Financial Options and Their Valuation. Financial options Black-Scholes Option Pricing Model. What is a financial option?.

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241 views • 23 slides
Currency Option Valuation

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.

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488 views • 22 slides
CHAPTER 8

CHAPTER 8

CHAPTER 8. OPTIONS DERIVATIVES. Learning Objectives. Describe what is an option and difference from futures Describe the difference between ETO and OTC options Explain the uses of options Explain the differences between call option and put option

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310 views • 20 slides
Appendix 27A: An Alternative Method to Derive The Black-Scholes Option Pricing Model (Related to 27.5)

Appendix 27A: An Alternative Method to Derive The Black-Scholes Option Pricing Model (Related to 27.5)

By Cheng Few Lee Joseph Finnerty John Lee Alice C Lee Donald Wort. Appendix 27A: An Alternative Method to Derive The Black-Scholes Option Pricing Model (Related to 27.5). Appendix 27A: An Alternative Method to Derive The Black- Scholes Option Pricing Model.

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332 views • 17 slides
Options and their Applications

Options and their Applications

Options and their Applications. Some Details about Option Contracts.

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344 views • 16 slides

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