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

29 Outubro 2024, 14:30 • António Manuel Barbosa

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- Futures options (Black’s model)

6. Extensions to the Black-Scholes Model

16 Outubro 2024, 14:30 • António Manuel Barbosa

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- 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

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- 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

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- Risk-neutral valuation

4. Binomial Option Pricing Model (continued)

8 Outubro 2024, 14:30 • António Manuel Barbosa

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- Valuation of American options