This class was created by Brainscape user Phuong Nguyen. Visit their profile to learn more about the creator.
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Phuong Nguyen
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Decks in this class (10)
Lecture 1: Review Session
Derivatives derive its value are ...,
Prime purpose of derivatives ie r...,
Second purpose of derivatives tak...
9
cards
Lecture 2: Fundamentals of stochastic calculus & deprivative pricing
Price of the underlying asset eg ...,
A variable whose value changes ov...,
Markov process a particular type ...
9
cards
Lecture 3: Option Properties
Notation c european call option p...,
Important factors affecting optio...,
Stock price drops by value of t d...
19
cards
Lecture 4: Black-Scholes-Merton approach to Option Pricing
Moneyness determines the but cant...,
Key to black scholes is the portf...,
B s m model assumptions 1 share p...
5
cards
Lecture 5: Calculate Black-Scholes option prices
What is black scholes equation fo...,
What is black scholes equation fo...,
D1
12
cards
Lecture 6: Monte Carlo simulation & Binomial Option Pricing
Apart from black scholes the most...,
Monte carlo simulation boyle 1977...,
Monte carlo simulation steps 1 di...
19
cards
Lecture 7: Binomial option pricing (cont'd)
Bop risk neutral probability q e ...,
Binomial formula one period c0 e ...,
American option payoff is maximum...
3
cards
Lecture 8: Exotic options
Exotic options options traded adv...,
Asian options payoff depends on o...,
2 types of asian options average ...
20
cards
Lecture 9: Estimate Volatitily
Volatility,
Implied volatility implied by an ...,
Volatility clustering due to hete...
14
cards
Lecture 10: Estimate Volatility (con't)
In practice bad news tend to have...,
2 main models to capture asymmetr...,
Egarch allows bad news to have im...
5
cards
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FDFE
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