Sumários
Pricing in complete markets
9 Novembro 2023, 13:00 • Szabolcs Sebestyén
Risk-neutral valuation
- Set-up and intuition
- Some important results
- Uniqueness
- The relation between risk-neutral and objective probabilities
Problem set 4, exercises 1 and 2
Pricing in complete markets
7 Novembro 2023, 13:00 • Szabolcs Sebestyén
Quiz 3
Market completeness and complex securities
Using options to complete the market