Sumários

7. Greeks and Option Hedging (continued)

30 Outubro 2024, 14:30 António Manuel Barbosa


- Delta-hedging

6. Extensions to the Black-Scholes Model (continued)

29 Outubro 2024, 14:30 António Manuel Barbosa


- Futures options (Black’s model)

6. Extensions to the Black-Scholes Model

16 Outubro 2024, 14:30 António Manuel Barbosa


- Stocks with discrete dividends and Black’s approximation
- Assets with dividend yield (Merton model): stock indices and currencies

5. Black-Scholes Option Pricing Model (continued)

15 Outubro 2024, 14:30 António Manuel Barbosa


- Black-Scholes partial differential equation: riskless and replication portfolios
- Volatility estimation: historical vs. Implied

5. Black-Scholes Option Pricing Model

9 Outubro 2024, 14:30 António Manuel Barbosa


- Risk-neutral valuation