'Call parity' diaporamas de présentation

Fundamentals of Corporate Finance, 2/e

Fundamentals of Corporate Finance, 2/e. Robert Parrino, Ph.D. David S. Kidwell, Ph.D. Thomas w. bates, ph.d. Chapter 20: Options and Corporate Finance. DEFINE A CALL OPTION AND A PUT OPTION, AND DESCRIBE THE PAYOFF FUNCTION FOR EACH OF THESE OPTIONS.

709 views • 53 slides

Options on stock indices, currencies, and futures

Options on stock indices, currencies, and futures. Options On Stock Indices. Contracts are on 100 times index; they are settled in cash

752 views • 52 slides

Option Valuation

Chapter Twenty- Four. Option Valuation. Key Concepts and Skills. Understand and be able to use Put-Call Parity Be able to use the Black-Scholes Option Pricing Model

711 views • 44 slides

The Black-Scholes Model

1.38k views • 42 slides

Topic 10: Volatility Smiles (Or the Many Faces of Finance)

Topic 10: Volatility Smiles (Or the Many Faces of Finance). Introduction. The Black-Scholes equation fundamentally assumes lognormally distributed assets.

600 views • 34 slides

Options

Options. Prepared by Paul A. Spindt. A Call Option. Gives its owner the right (not obligation) to buy an asset (the underlying ) at a specified price (the exercise price ) on (and perhaps before) a given date (the expiration date ). A Put Option.

517 views • 33 slides

Properties of Stock Option Prices Chapter 9

Properties of Stock Option Prices Chapter 9. c : European call option price p : European put option price S 0 : Stock price today X : Strike price T : Life of option ? : Volatility of stock price. C : American Call option price P : American Put option price

422 views • 27 slides

Exam FM/2 Review derivatives

617 views • 22 slides

Past exam questions

Past exam questions. 723g28 Financial economics 2012. Example : from past exam.

313 views • 20 slides

From financial options to real options 2. Financial options

345 views • 19 slides

Derivative Securities Forwards and Options

Derivative Securities Forwards and Options. PERTEMUAN 19-20. 381 Computational Finance. Imperial College London. Topics Covered. Derivatives: Forward Contracts, Options Valuation techniques Option Pricing Models Binomial Option Pricing. Introduction to Derivatives. security

318 views • 19 slides

7 Things We Understand About Finance

473 views • 18 slides

Chapter 5: Foreign Currency Options

Chapter 5: Foreign Currency Options. Options markets and uses for options Terminology Quotes Option pricing What affects option value? The Greeks. Currency Options. the right (not the obligation), to buy (a call) or sell (a put) specified amount specified date specified exchange rate

394 views • 18 slides

Financial Markets Derivatives CFA FRM

446 views • 16 slides

The Maths behind the Greeks By A.V. Vedpuriswar

The Maths behind the Greeks By A.V. Vedpuriswar. November 9, 2010. Ref : John C Hull, Options, Futures and Other Derivatives. Delta of a Call Option. C = SN (d 1 ) - Ke -r(T-t) N(d 2 ). Delta of a Call Option. = But d 2 = Or N / (d 1) = N / (d 2 ) e .

305 views • 15 slides

Interest Rate Derivative Pricing

Interest Rate Derivative Pricing. IRD Valuation. Caps, Floors and Collars Swaptions. Caps and Floors. Application of B-S model as modified by Black (1976):. Application of Put-Call Parity by Black (1976):. Caps and Floors. Caps & Floors Example.

421 views • 14 slides

Interest Rate Derivative Pricing

Interest Rate Derivative Pricing. IRD Valuation. Caps, Floors and Collars Swaptions. Caps and Floors. Application of B-S model as modified by Black (1976):. Application of Put-Call Parity by Black (1976):. Caps and Floors. Caps & Floors Example.

300 views • 14 slides

Option Pricing under Risk Neutral prob.

417 views • 13 slides