Option pricing

Bài giảng Chapter 8: Financial options and their valuation presents of Financial options, BlackScholes Option Pricing Model. It helps you learn better.
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Essentials of Investments: Chapter 16  Option Valuation to discuss factors that affect option prices and to present quantitative option pricing models. It includes Factors influencing option values, BlacScholes option valuation, Using the BlacScholes formula, Binomial Option Pricing.
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Options are financial instruments which are bought and sold in a market place. The people who do it well pocket large bonuses; companies that do it badly can suffer staggering losses. These are intensely practical activities and this is a technical book for practical people working in the industry.Options are financial instruments which are bought and sold in a market place. The people who do it well pocket large bonuses; companies that do it badly can suffer staggering losses.
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Chapter 15  Other derivative assets. The main contents of the chapter consist of the following: Futures options, pricing futures options, warrants, other derivative assets.
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(BQ) Part 1 book "An introduction to derivatives and risk management" has contents: Structure of derivatives markets, principles of option pricing, option pricing models  the binomial model, option pricing models  the black scholes merton model, basic option strategies, advanced option strategies.
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Lecture Derivatives  Chapter 5 introduction to option pricing. This chapter presents the following content: Introduction, a brief history of options pricing, arbitrage and option pricing, intuition into blackscholes.
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Chapter 6  The blackscholes option pricing model. This chapter presents the following content: Introduction, the blackscholes option pricing model, calculating blackscholes prices from historical data, implied volatility, using blackscholes to solve for the put premium, problems using the blackscholes model.
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Chapter 7  Option greeks. This chapter presents the following content: Introduction, the principal option pricing derivatives, other derivatives, delta neutrality, two markets: directional and speed, dynamic hedging.
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(BQ) Part 1 book "Java methods for financial engineering applications in finance and investment" has contents: Interest rate calculations, bonds, futures, duration, options, modelling stock prices, the binomial model, analytical option pricing methods, sensitivity measures, interest rate derivatives.
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While the stochastic volatility (SV) generalization has been shown to improve the explanatory power over the BlackScholes model, empirical implications of SV models on option pricing have not yet been adequately tested. The purpose of this paper is to ﬁrst estimate a multivariate SV model using the efﬁcient method of moments (EMM) technique from observations of underlying state variables and then investigate the respective effect of stochastic interest rates, systematic volatility and idiosyncratic volatility on option prices....
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CHAPTER 4 The Value of Uncertainty. The general assumption in financial option pricing is that enhanced volatility enhances the value of the option. For financial options, a series of “Greeks” are tools that can be used by analysts to describe and understand the sensitivity of the financial option to key uncertainty parameters.
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6 TRADING VOLATILITY. LEARNING OBJECTIVES: The material in this chapter helps you to: • Recognize volatility abnormalities and use them in profitable trading strategies. • Understand and use the measures of option price change (“greeks”). • Read and interpret price distributions.
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Why does the CME now offer two Milk contracts? The Milk (Class III) was changed from the BFP in January 2000 to conform to the new component pricing structure of the dairy "reform" legislation for milk used in the manufacturing of hard cheeses. It has provided an excellent risk management tool for the cheese milk industry.
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1 INTRODUCTION. LEARNING OBJECTIVES: The material in this chapter will help you to: • Become familiar with the terms and concepts of option trading. • Analyze the components of option price. • Use historical and implied volatility to formulate your option trading strategy.
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Buying options is the best way to start trading options. The big advantage that you have is that you can’t lose more than you pay for the option. That is not true of some other option strategies such as option writing.The major error made by option buyers and the reason some take big losses is that they pay too much for their options. In fact, most option authorities recommend buying inthemoney options where the stock price is across the strike price.
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You cannot predict the future or control the present—these are prime directives governing the creation and use of options. This text takes the mystery out of predicting and profiting from the future price trends of stocks and futures contracts using fundamental and/or technical analysis along with option strategies that manage the associated risk. Savvy market operators have devised methods of attacking the markets aggressively, while protecting themselves from the daily risk of loss.
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In the framework of BlackScholesMerton option pricing models, by employing exotic options instead of plain options or warrants, this paper presents an equivalent decomposition method for the Callable Convertible Bonds (CCB). Furthermore, the analytic valuation formulae for CCB are obtained by using the analytic formulae for those simpler securities decomposed from CCB. This method is validated by comparing with Monte Carlo simulation. Besides, the effects of call clauses, coupon clauses, soft call condition clauses and dividend payment are analyzed respectively.
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Chapter 7 "Foreign currency options" drug Lecture Multinational financial management introduce to you the content: Contract specifications, option positions, hedging using option contract, strategy on currencies option, option pricing.
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An investor who has sold stock short in anticipation of a price decline can limit a possible loss by purchasing call options. Remember that shorting stock requires a margin account and margin calls may force you to liquidate your position prematurely. Although a call option may be used to offset a short stock position's upside risk, it does not protect the option holder against additional margin calls or premature liquidation of the short stock position. Assume you sold short 100 shares of XYZ stock at $40 per share.
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We build a threefactor termstructure of interest rates model and use it to price corporate bonds. The first two factors allow the riskfree term structure to shift and tilt. The third factor generates a stochastic creditrisk premium. To implement the model, we apply the Peterson and Stapleton (2002) diffusion approximation methodology. The method approximates a correlated and laggeddependent lognormal diffusion processes. We then price options on creditsensitive bonds.
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