Lecture 11 Flashcards
1
Q
Multi-Period Binomial Model
A
2
Q
Risk-neutral probability:
A
3
Q
Two-period binomial example
A
4
Q
A
5
Q
value of the call at t = 0
A
6
Q
Replication method
A
7
Q
Theorem on Early Exercise of an American Call
A
It is never optimal to exercise early an American call on a
non-dividend paying stock.
8
Q
Theorem on Early Exercise of an American Put
A
the price of an American put on a non-dividend paying stock
may be greater than the price of the corresponding European put. It may be optimal to exercise early an American put on
non-dividend paying stock.
9
Q
Black-Scholes price for a call:
A
10
Q
Properties of the Black-Scholes Prices
A
11
Q
Practical Implementation of Black-Scholes Model
A
12
Q
Historical Volatility - steps to calculate
A
13
Q
Implied volatility
A
14
Q
A
15
Q
A
16
Q
A
17
Q
A
18
Q
A
19
Q
A
20
Q
A
21
Q
A
22
Q
A
