Sumários

7. Greeks and Option Hedging (continued)

5 Novembro 2025, 13:00 • António Manuel Barbosa

- Delta-hedging

7. Greeks and Option Hedging

4 Novembro 2025, 14:30 • António Manuel Barbosa

- Delta, gamma, theta, vega, rho

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

29 Outubro 2025, 14:30 • António Manuel Barbosa

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

6. Extensions to the Black-Scholes Model

28 Outubro 2025, 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)

22 Outubro 2025, 14:30 • António Manuel Barbosa

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