'Replicating portfolio' diaporamas de présentation

OPTION PRICING MODEL

OPTION PRICING MODEL. Black-Scholes (BS) OPM. Cox, Ross, and Rubinstien Binomial Option Pricing Model: BOPM. BOPM. Model is based on constructing a replicating portfolio (RP). The RP is a portfolio whose cash flows match the cash flows of a call option.

1.14k views • 85 slides

OPTION PRICING MODEL

OPTION PRICING MODEL. Black-Scholes (BS) OPM. Cox, Ross, and Rubinstien Binomial Option Pricing Model: BOPM. BOPM. Model is based on constructing a replicating portfolio (RP). The RP is a portfolio whose cash flows match the cash flows of a call option.

1.04k views • 85 slides

Swiss Solvency Test: Technical Details

Swiss Solvency Test: Technical Details. Federal Office of Private Insurance Brussels, 22 December 2005. Contents. Market Value Margin SCR The SST Standard Models Scenarios Risk Bearing Capital. The SST Concept: Market Value Margin.

642 views • 64 slides

BINOMIAL OPTION PRICING MODEL

BINOMIAL OPTION PRICING MODEL. Chapter 5 Cox, Ross, and Rubinstien Binomial Option Pricing Model: BOPM. BOPM. Model is based on constructing a replicating portfolio (RP). The RP is a portfolio whose cash flows match the cash flows of a call option.

842 views • 55 slides

Dr Nalan Gulpinar

Asset Pricing Models. Dr Nalan Gulpinar. 381 Computational Finance 20-21 February 2006. Imperial College London. Problem Types in Investment Science. Determining correct, arbitrage free price of an asset: price of a bond, a stock the best action in an investment situation:

644 views • 34 slides

Chapter 8 Valuation Exhibits October 22, 2000

Chapter 8 Valuation Exhibits October 22, 2000. ? 2000 The Marketspace Center, Monitor Group DO NOT REPRODUCE DO NOT DISTRIBUTE WITHOUT PERMISSION. Return on New Investment (ROIC). Continuing Value. 35%. 40%. 45%. 8%. $55,933. $58,038. $59,674. NOPLAT. $84,474. 9%. $80,934.

342 views • 22 slides

Chapter 8 Valuation Exhibits October 22, 2000

Chapter 8 Valuation Exhibits October 22, 2000. ? 2000 The Marketspace Center, Monitor Group DO NOT REPRODUCE DO NOT DISTRIBUTE WITHOUT PERMISSION. Return on New Investment (ROIC). Continuing Value. 35%. 40%. 45%. 8%. $55,933. $58,038. $59,674. NOPLAT. $84,474. 9%. $80,934.

345 views • 22 slides

231 views • 8 slides