The binomial model for option pricing презентация
Содержание
- 2. Contents European Call Option Geometric Brownian Motion Black-Scholes Formula Multi
- 3. European Call Option C - Option Price K - Strike price
- 4. Geometric Brownian Motion S(y), 0y<t, follows a geometric Brownian motion
- 5. Black-Scholes Formula The price at time zero of a European call
- 6. The Multi Period Binomial Model
- 7. The Multi Period Binomial Model Let Let (X1, X2,…, Xn)
- 8. The Multi Period Binomial Model Choose an arbitrary vector (1, 2,
- 9. The Multi Period Binomial Model
- 10. The Multi Period Binomial Model Expected gain = No arbitrage
- 11. The Multi Period Binomial Model (1, 2, …, n-1) arbitrary vector
- 12. The Multi Period Binomial Model Limitations: Two outcomes only The
- 13. Geometric Brownian Motion as a Limit The Binomial process:
- 15. GBM as a limit Let and
- 16. GBM as a Limit The stock price after n periods where
- 17. GBM as a Limit Taylor expansion gives
- 18. GBM as a limit Expected value of W
- 19. GBM as a limit By Central Limit Theorem
- 20. GBM as a limit The multi period Binomial model becomes geometric
- 21. B-S Formula as a limit Let ,
- 22. B-S formula as a limit The unique non-arbitrage option price As
- 23. B-S formula as a limit where X~N(0,1) and
- 24. B-S formula as a limit
- 25. B-S formula as a limit
- 26. B-S formula as a limit
- 27. B-S formula as a limit
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