'Vanilla options' presentation slideshows

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608 views • 35 slides

Pricing Derivatives Securities using MATLAB

Pricing Derivatives Securities using MATLAB . Mayeda Reyes-Kattar March 2007. Outline. What is a Derivative Instrument? Type of Derivatives Why use Derivatives securities? How are they used? How to price Derivatives Type of Equity Tree models Implied Trinomial Tree What is hedging?

477 views • 24 slides

Convergence Analysis of BTM

Convergence Analysis of BTM. Dr. DAI Min. Why convergence analysis is important?. To better understand the BTM and the continuous-time model American options Lookback options To develop new schemes FSGM Finite difference scheme. Consistency of BTM and PDE model for vanilla options (I).

379 views • 22 slides