'Option price' diaporamas de présentation

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BASICS OF FINANCIAL RISK MANAGEMENT

BASICS OF FINANCIAL RISK MANAGEMENT. CAS / ARIA Financial Risk Management Seminar -- Denver, CO April, 1999 Rick Gorvett, FCAS, Ph.D. The College of Insurance. BACKGROUND AND MOTIVATION. WHY SHOULD WE STUDY FINANCIAL RISK MANAGEMENT?.

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Reporting and Analyzing Equity

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OPTIONS

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Options Lesson one: Option Basics and Buying Calls.

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Options Lecture 3

Options Lecture 3. Profit ($). 30. 20. 10. Terminal stock price ($). 70. 80. 90. 100. 0. 110. 120. 130. -5. Long Call on IBM. Profit from buying an IBM European call option: option price = $5, strike price = $100, option life = 2 months. Profit ($). 110. 120. 130. 5. 0.

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Brief history of Derivatives

Brief history of Derivatives. History of derivatives is quite colorful and surprisingly a lot longer than most people think

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Yazann Romahi

Options Strategies. Yazann Romahi. 2 nd May 2002. Synopsis. What is an option ? Work through an example Call Option What determines the price of a n option ? Intrinsic Value Option Delta Time Value Volatility Option Strategies Covered Call Bull Spread, Bear Spread

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Lecture 22: Other Derivatives

Lecture 22: Other Derivatives. Option Parameters. Delta: Partial derivative of option price with respect to underlying price: ? C /? S Gamma: Second partial derivative of option price with respect to underlying: ? 2 C /? S 2

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Lecture 22: Other Derivatives

Lecture 22: Other Derivatives. Option Parameters. Delta: Partial derivative of option price with respect to underlying price: ? C /? S Gamma: Second partial derivative of option price with respect to underlying: ? 2 C /? S 2

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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.

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Chapter 19 Monte Carlo Valuation

Chapter 19 Monte Carlo Valuation. Monte Carlo Valuation. Simulation of future stock prices and using these simulated prices to compute the discounted expected payoff of an option Draw random numbers from an appropriate distribution

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University of Hong Kong Trading Workshop

University of Hong Kong Trading Workshop. Class 4 Treasury Workshop II FX Option Markets. David Lo. Buy a House. Buy USD agst CHF. Guarantee. Quantity. Guarantee. Nominal . 1 month. 1 House. 1 month. Amount. USD 1 mio. $ 1,200,000. 1.4800. What is OPTION?. Options.

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Valuing Stock Options : The Black-Scholes-Merton Model

Valuing Stock Options : The Black-Scholes-Merton Model. Chapter 13. The Lognormal Distribution: let binomial tree step become infinitely small. The Volatility. The volatility is the standard deviation of the continuously compounded rate of return in 1 year

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Tutorial 5

Tutorial 5. Yufeng Yao. The Black-Scholes differential equation. Assumptions: The stock price follows a Geometric Brownian Motion. The short selling of securities is permitted. There are no transactions costs or taxes. All securities are perfectly divisible (1/3 stocks).

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Options

Options.

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Hedging with Black and scholes

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Derivatives

Derivatives. Lecture 21. Greeks. The Greeks measure the various risks of an option. Every option has risk related to the variables contained in the price of the option. Knowing these risks allows us to create strategies and select the best option to include in the strategy. Delta Gamma

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Exercise 1, 2

Exercise 1, 2 .

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