Sumários

7. Greeks and Option Hedging (continued)

31 Outubro 2023, 14:30 • António Manuel Barbosa

- Delta-hedging

7. Greeks and Option Hedging

30 Outubro 2023, 14:30 • António Manuel Barbosa

- Delta, gamma, theta, vega, rho

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

25 Outubro 2023, 14:30 • António Manuel Barbosa

- Futures options (Black’s model)
- Black's approximation

6. Extensions to the Black-Scholes Model

24 Outubro 2023, 14:30 • António Manuel Barbosa

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

5. Black-Scholes Option Pricing Model (continued)

11 Outubro 2023, 14:30 • António Manuel Barbosa

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