Search results “Options pricing models”

http://optionalpha.com - Option traders often refer to the delta, gamma, vega and theta of their option position as the "Greek" which provide a way to measure the sensitivity of an option's price. However, it's important that you realize that the "Greeks" don't determine pricing, just reflect what could happen in pricing changes for moves in the stock, implied volatility, etc.
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- Kirk & The Option Alpha Team

Views: 147207
Option Alpha

Introduces the Black-Scholes Option Pricing Model and walks through an example of using the BS OPM to find the value of a call. Supplemental files (Standard Normal Distribution Table, BS OPM Formulas, and BS OPM Spreadsheet) are provided with links to the files in Google Documents.
tinyurl.com/Bracker-StNormTable
tinyurl.com/Bracker-BSOPM
tinyurl.com/Bracker-BSOPMspread

Views: 225117
Kevin Bracker

An introduction into option pricing. Understanding how option pricing works and the components that determine an option price. For more information visit www.tradesmartu.com

Views: 15296
TradeSmart University

Created by Sal Khan.
Watch the next lesson:
https://www.khanacademy.org/economics-finance-domain/core-finance/derivative-securities/black-scholes/v/implied-volatility?utm_source=YT&utm_medium=Desc&utm_campaign=financeandcapitalmarkets
Missed the previous lesson? Watch here:
https://www.khanacademy.org/economics-finance-domain/core-finance/derivative-securities/interest-rate-swaps-tut/v/interest-rate-swap-2?utm_source=YT&utm_medium=Desc&utm_campaign=financeandcapitalmarkets
Finance and capital markets on Khan Academy: Interest is the basis of modern capital markets. Depending on whether you are lending or borrowing, it can be viewed as a return on an asset (lending) or the cost of capital (borrowing). This tutorial gives an introduction to this fundamental concept, including what it means to compound. It also gives a rule of thumb that might make it easy to do some rough interest calculations in your head.
About Khan Academy: Khan Academy offers practice exercises, instructional videos, and a personalized learning dashboard that empower learners to study at their own pace in and outside of the classroom. We tackle math, science, computer programming, history, art history, economics, and more. Our math missions guide learners from kindergarten to calculus using state-of-the-art, adaptive technology that identifies strengths and learning gaps. We've also partnered with institutions like NASA, The Museum of Modern Art, The California Academy of Sciences, and MIT to offer specialized content.
For free. For everyone. Forever. #YouCanLearnAnything
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Subscribe to Khan Academy: https://www.youtube.com/subscription_center?add_user=khanacademy

Views: 389829
Khan Academy

This video explains about the 2 option pricing models used in the derivatives market

Views: 3826
MODELEXAM

MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
View the complete course: http://ocw.mit.edu/18-S096F13
Instructor: Stephen Blythe
This guest lecture focuses on option price and probability duality.
License: Creative Commons BY-NC-SA
More information at http://ocw.mit.edu/terms
More courses at http://ocw.mit.edu

Views: 38709
MIT OpenCourseWare

The binomial solves for the price of an option by creating a riskless portfolio. For more financial risk videos, visit our website! http://www.bionicturtle.com

Views: 139309
Bionic Turtle

Watch an overview of using theoretical pricing models to predict the outcome of an options contract, including examples
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Topic: option payoff, Black Scholes, option pricing model, option pricing, premium, price, strike price, option probability

Views: 482
CME Group

Basics of Options Pricing http://www.financial-spread-betting.com/ PLEASE LIKE AND SHARE THIS VIDEO SO WE CAN DO MORE! Options pricing can be pretty complicated; you have the Black-Scholes formula, you have those big derivative based equations but as traders we just want to break down into the big fundamentals basics so we can the major components that effects the options price we are trading.
We have 2 components to an options price
1) We have the intrinsic value; intrinsic value is the profit that is built into the option already. So for instance if you have bought a $50 put option (bearish view) and the stock is trading at $40, that option already has $10 worth of value. So the instrinsic value of that is $10.
2) We have the extrinsic value. Extrinsic value (also known as time value or premium) is where the intricacies start. The premium consists of the time to expiry and implied volatility. As time increases so does the extrinsic value as the longer the time to expiry the larger the likelihood of bigger moves. Implied volatility is how volatile people perceive the stock price to be in the future.
What are the options for time-value decay, and how can a trader benefit from it?
The price of an option is the intrinsic value plus time value. For example a 95 call with the asset at 100 and a call price of $6.50 - (5.00 intrinsic) = $1.50 time value. On expiration day, with no time left. The time value will be zero.
But the time value will not decay in linear fashion, there is slope. Most often you will find time decay (theta) will increase rapidly after 18–22 days to expiration.
How does volatility work for an option buyer? Volatility (in annualized percentage form) is one of the variables for the black-schole option price ‘model’. It is used to price options to get an estimate of probability of a range of outcomes at expiration. Volatility measure the magnitude of price changes. Without regard for direction.
Once an option trades and is active and price is put into the BSM model and the Implied volatility is calculated. Implied volatility its the markets expectations of the magnitude of price changes in the future.
How is implied volatility different from historical volatility?
Historical volatility is the standard deviation of price returns of the underlying asset (on which the option is based) has traded IN THE PAST. The number is expressed as an annual percentage number.
Historical volatility tells us about the past. it is the annulled standard deviation of stock returns through the last sale or closing price.
Implied volatility is the volatility (same as historical - standard deviation per annum) is the volatility implied by the price of the option. It is the market's expectation of the volatility of the underlying asset from “today” until the expiration date of the option.
So historical tell us about the past, implied tells us about the future.
Complete Options Trading Course
Check the rest of the videos on our Options Trading videos playlist at
https://www.youtube.com/watch?v=43bk2a6CPr8&list=PLnSelbHUB6GQJHlFjss97-zlhYi_ndq9K

Views: 642
UKspreadbetting

www.skyviewtrading.com
Options are priced based on three elements of the underlying stock.
1. Time
2. Price
3. Volatility
Watch this video to fully understand each of these three elements that make up option prices.
Adam Thomas
www.skyviewtrading.com
what are options
option pricing
how to trade options
option trading basics
options explanation
stock options

Views: 1122814
Sky View Trading

Introduction to the binomial option pricing model, delta hedging, and risk-neutral valuation.

Views: 40598
Matt Brigida

http://optionalpha.com - Properly pricing a trade to make enough money to cover the probability risk is one of the most overlooked aspects of selling options for monthly income. In this video, I'll show you exactly why most trades are frustrated and losing money long-term even though they are trading with a very high probability of success. Skip this video and you'll join their ranks.
==================
Listen to our #1 rated investing podcast on iTunes: http://optionalpha.com/podcast
==================
Download your free copy of the "The Ultimate Options Strategy Guide" including the top 18 strategies we use each month to generate consistent income: http://optionalpha.com/ebook
==================
Grab your free "7-Step Entry Checklist" PDF download today. Our step-by-step guide of the top things you need to check before making your next option trade: http://optionalpha.com/7steps
==================
Have more questions? We've put together more than 114+ Questions and detailed Answers taken from our community over the last 8 years into 1 huge "Answer Vault". Download your copy here: http://optionalpha.com/answers
==================
Just getting started or new to options trading? You'll love our free membership with hours of video training and courses. Grab your spot here: http://optionalpha.com/free-membership
==================
Register for one of our 5-star reviewed webinars where we take you through actionable trading strategies and real-time examples: http://optionalpha.com/webinars
==================
- Kirk & The Option Alpha Team

Views: 63711
Option Alpha

[my xls is here https://trtl.bz/2AruFiH] The binomial option pricing model needs: 1. A set of assumptions similar but not identical to those found in Black-Scholes; 2. A framework; i.e., risk-neutral valuation which allows us to infer the probability of an up-jump; 3. An assumption about asset dynamics, in this case that arithmetic returns are normally distributed; and 4. A valuation process which is two steps: FORWARD simulation produces terminal asset prices, then BACKWARD induction which returns the option price based on a series of discounted expected values.

Views: 289
Bionic Turtle

Share options and option pricing (part 1) - ACCA (AFM) lectures
Free ACCA lectures for the Advanced Financial Management (AFM) Exam
Please go to OpenTuition to download the AFM notes used in this lecture, view all remaining Advanced Financial Management (AFM) lectures, and post questions on the Ask the ACCA AFM Tutor Forums - We do NOT provide support on the youtube comments section.
*** Complete list of free ACCA lectures is available on https://opentuition.com/acca/afm/ ***

Views: 2677
OpenTuition

This video demonstrates my Matlab implementation of Monte-Carlo simulation used to price options on equities while accounting for non-constant volatility, specifically stochastic mean reverting volatility as per the Heston model.
I am happy to connect with other financial professionals and recruiters on LinkedIn. You can find my profile here:
https://www.linkedin.com/in/alex-ockenden-81756aa1

Views: 2491
Alexander Ockenden

We offer the most comprehensive and easy to understand video lectures for CFA and FRM Programs. To know more about our video lecture series, visit us at www.fintreeindia.com
This video was captured during a live session by Utkarsh Jain in one of the session of in CFA level II class in Pune.

Views: 23659
FinTree

This video shows how to calculate the value of CEO stock options using Black-Scholes option pricing model.
You can download the code from www.phdinfinance.org

Views: 541
Ph.D. in Finance

@ Members :: This Video would let you know about parameters of Black Scholes Options Pricing Model (BSOPM) like Stock Price , Strike Price , Time to Maturity , Volatility ( Implied Volatility ) and Risk Free Interest Rates.
You are most welcome to connect with us at 91-9899242978 (Handheld) , Skype ~Rahul5327 , Twitter @ Rahulmagan8 , [email protected] , [email protected] or visit our website - www.treasuryconsulting.in

Views: 12393
Foreign Exchange Maverick Thinkers

Ito Calculus plays a critical role with Deriving the
Black Scholes Merton Equation which we had previously
used without going into how we get it?
We begin with Ito Calculus and how it differs from
standard calculus. We then show how a portfolio of
shares and derivatives can be riskless(at that point in time
since hedging has to be dynamic) and how the returns from
it must be at the risk free return rate.
That puts our foundations on more sound footing. We'll do a
few more lessons on foundations next before moving on.

Views: 9903
Quant Channel

A difficult idea, but maybe the key idea in option pricing: we can price the option under the riskless assumption and yet it will be valid it the real (risky) world! For more financial risk videos, visit our website! http://www.bionicturtle.com

Views: 39973
Bionic Turtle

We price an American put option using 3 period binomial tree model. We cover the methdology of working backwards through the tree to price the option in multi-period binomial framework. Empahsis is also placed on early exercise feature of American option and it's significance in pricing. Although not a prerequisite, viewers can look at the tutorial on risk neutral valuation in binomial model for understanding how to calculate risk neutral probability of stock price going up.

Views: 70481
finCampus Lecture Hall

Ross is best known for the development of the arbitrage pricing theory (mid-1970s) as well as for his role in developing the binomial options pricing model (1979; also known as the Cox–Ross–Rubinstein model). He was an initiator of the fundamental financial concept of risk-neutral pricing. In 1985 he contributed to the creation of the Cox–Ingersoll–Ross model for interest rate dynamics. Such theories have become an important part of the paradigm known as neoclassical finance.
In finance, arbitrage pricing theory (APT) is a general theory of asset pricing that holds that the expected return of a financial asset can be modeled as a linear function of various factors or theoretical market indices, where sensitivity to changes in each factor is represented by a factor-specific beta coefficient. The model-derived rate of return will then be used to price the asset correctly—the asset price should equal the expected end of period price discounted at the rate implied by the model. If the price diverges, arbitrage should bring it back into line.

Views: 305
scottab140

New York Institute of Finance instructor Anton Theunissen explains the history, mechanics, and application of the Black-Scholes Model of options pricing. Visit https://www.nyif.com/ to browse career advancing finance courses.

Views: 7486
New York Institute of Finance

Introduction to Derivatives lecture at Purdue University Northwest.
Sorry, poor audio but good enough for learning :-)

Views: 4105
Pat Obi

Jacob Perlman breaks down the differences between the Black-Scholes model and the Heston model while simultaneously breaking Tom's spirit.
Watch more great programming only on the tastytrade network.
Live Monday-Friday 7am-3pm CT
https://www.tastytrade.com/tt/live

Views: 2844
tastytrade

Training on Binomial Option Pricing Model Vamsidhar Ambatipudi

Views: 352
Vamsidhar Ambatipudi

We make use of risk neutral valuation approach to price a european barrier call option. Along with enhancing the understanding of pricing barrier options, the idea of the video is to help develop a broader understanding of pricing options in discrete time framework with different payoffs.

Views: 26472
finCampus Lecture Hall

Binomial Option Pricing Part 2 http://www.youtube.com/edit?ns=1&video_id=_8aGHBBYrik&feature=vm
Black Scholes Part 1 http://www.youtube.com/watch?v=oITrJn6ndRg
Black Scholes Part 2 http://www.youtube.com/watch?v=E7rSQNJEYZA
More videos at http://facpub.stjohns.edu/~moyr/videoonyoutube.htm

Views: 18940
Ronald Moy

A walkthrough of the Black Scholes Option Pricing Model on a Spreadsheet. Spreadsheet file is linked and available in Google Docs. Link for video is tinyurl.com/Bracker-BSOPMSpread

Views: 34290
Kevin Bracker

Lecturer: Prof. Shimon Benninga
We show how to price Asian and barrier options using MC. A starting point is an extended example of how to use MC to price plain vanilla calls. This example illustrates the basic principles of MC pricing for options.

Views: 44698
TAUVOD

Training on Option Pricing Models using R by Vamsidhar Ambatipudi

Views: 1291
Vamsidhar Ambatipudi

A continuation of the Black-Scholes Option Pricing Model with the focus on the put option.
Templates available at:
tinyurl.com/Bracker-StNormTable
tinyurl.com/Bracker-BSOPM
tinyurl.com/Bracker-BSOPMSpread

Views: 31509
Kevin Bracker

ZACH DE GREGORIO, CPA
www.WolvesAndFinance.com
This video discusses the Black-Scholes Option Pricing Model. This math formula was first published in 1973 by Fischer Black and Myron Scholes. They received the Nobel Prize in 1997 for their work. This equation calculates out the value of the right to enter into a transaction. The math is complicated, but the concept is simple. It is based on the idea that the higher the risk, the higher the return. So the value of an option is based on the riskiness of the payout. If a payout is uncertain, you would be willing to pay less money. The way the Black-Scholes equation works is with five main variables: volatility, time, current price, exercise price, and risk free rate. Each variable has some level of risk associated with it which drives the value of the option. By entering in your assumptions, it calculates a value. Calculators are available online for this equation. This video shows an example with actual numbers. You can understand the variable sensitivity by creating a table. You can change the value of the current price while keeping the other variables the same.
Neither Zach De Gregorio or Wolves and Finance Inc. shall be liable for any damages related to information in this video. It is recommended you contact a CPA in your area for business advice.

Views: 1818
WolvesAndFinance

Pricing Options using Black-Scholes Model, part 1 contain calculation on excel using data from NSE and part 2 explains how to use goal seek function to get implied volatility.

Views: 2572
Excelasy by Nitin Surana

This video shows how to calculate call and put option prices on excel, based on Black-Scholes Model.

Views: 8006
Mehmet Akgun

www.investmentlens.com
We describe the risk neutral valuation approach to price an option using a one period binomial tree model. The approach can be easily extended to price derivatives using multi-period binomial treel.

Views: 22950
finCampus Lecture Hall

I didn't have time to cover this question in the exam review on Friday so here it is.

Views: 15914
Julian Aziz

Two weeks ago I had to implement this model, and I decided to share it with you.
Music:
©Setuniman
https://freesound.org/s/414279/

Views: 1023
ComputationalScientist

How to Calculate the Price of a Call Option, the price of a Put Option and Put-Call Parity.
Here's the excel file if you wish to download it:
https://www.dropbox.com/s/a5jcbzy0u5dcvem/2010%20BSOPM%20Update.xlsx?dl=0

Views: 5566
Frank Conway

We apply portfolio replication approach to price an option in a one period binomial tree model. The methodology can be easily extended to multi-period binomial tree model. This is an application of the general methodology learnt in tutorial on binomial option pricing using portfolio replication.

Views: 57097
finCampus Lecture Hall

Financial Markets (2011) (ECON 252)
After introducing the core terms and main ideas of options in the beginning of the lecture, Professor Shiller emphasizes two purposes of options, a theoretical and a behavioral purpose. Subsequently, he provides a graphical representation for the value of a call and a put option, and, in this context, addresses the put-call parity for European options. Within the framework of the Binomial Asset Pricing model, he derives the value of a call-option from the no-arbitrage-principle, and, as a continuous-time analogue to this formula, he presents the Black-Scholes Option Pricing formula. He contrasts implied volatility, as represented by the VIX index of the Chicago Board Options Exchange, which uses a different formula in the spirit of Black-Scholes, with the actual S&P Composite volatility from 1986 until 2010. Professor Shiller concludes the lecture with some thoughts about options on single-family homes that he launched with his colleagues of the Chicago Mercantile Exchange in 2006.
00:00 - Chapter 1. Examples of Options Markets and Core Terms
07:11 - Chapter 2. Purposes of Option Contracts
17:11 - Chapter 3. Quoted Prices of Options and the Role of Derivatives Markets
24:54 - Chapter 4. Call and Put Options and the Put-Call Parity
34:56 - Chapter 5. Boundaries on the Price of a Call Option
39:07 - Chapter 6. Pricing Options with the Binomial Asset Pricing Model
51:02 - Chapter 7. The Black-Scholes Option Pricing Formula
55:49 - Chapter 8. Implied Volatility - The VIX Index in Comparison to Actual Market Volatility
01:09:33 - Chapter 9. The Potential for Options in the Housing Market
Complete course materials are available at the Yale Online website: online.yale.edu
This course was recorded in Spring 2011.

Views: 119099
YaleCourses

Derivatives lecture at Purdue University Calumet

Views: 3247
Pat Obi

Quantitative Finance Bootcamp: http://bit.ly/quantitative-finance-python
Find more: www.globalsoftwaresupport.com

Views: 2134
Balazs Holczer

www.investmentlens.com
We describe the portfolio replication approach to price an option using a one period binomial tree model. The approach can be easily extended to price derivatives in multi-period setting.

Views: 19033
finCampus Lecture Hall

Binomial options pricing model
In finance, the binomial options pricing model (BOPM) provides a generalizable numerical method for the valuation of options.The binomial model was first proposed by Cox, Ross and Rubinstein in 1979.
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Author-Info: Virginie Joly-Stroebel
Image Source: https://en.wikipedia.org/wiki/File:Arbre_Binomial_Options_Reelles.png
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https://www.youtube.com/watch?v=NvktC6WMsJI

Views: 3577
WikiAudio

Series playlist: http://www.youtube.com/playlist?list=PLG59E6Un18vhANdpTHZCFnfj-jwFEqZ0Q&feature=view_all
In this tutorial, I introduce the Binomial Option Pricing Model. The simplest version of this is the one-period model, in which we consider a single time-step before option expiry. The ingredients of this pricing method are models for the behaviour of the stock and a riskless bond over the time-step. The bond earns interest at the risk-free rate, while the stock is assumed to move either up or down by fixed factors. Given an option, I show how to build a replicating portfolio from the bond and stock. The portfolio matches the option values at expiry. By no-arbitrage, today's value of the option must be simply today's value of the portfolio. Finally, I demonstrate that the theoretical option value may be written as a discounted expected future value, provided that we move to the risk-neutral measure, in which the risk-neutral probability q replaces our real-world probability p. [The tutorial is aimed at beginner to intermediate level.]

Views: 28859
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© 2019 Exchange outlook 2018 certificate error

Current Dividend Preference. Participating Preferred Stock. Convertible Preferred Stock. Cumulative preferred stock includes a provision that requires the company to pay preferred shareholders all dividends, including those that were omitted in the past, before the common shareholders are able to receive their dividend payments. Non-cumulative preferred stock does not issue any omitted or unpaid dividends. If the company chooses not to pay dividends in any given year, the shareholders of the non-cumulative preferred stock have no right or power to claim such forgone dividends at any time in the future. Participating preferred stock provides its shareholders with the right to be paid dividends in an amount equal to the generally specified rate of preferred dividends, plus an additional dividend based on a predetermined condition. This additional dividend is typically designed to be paid out only if the amount of dividends received by common shareholders is greater than a predetermined per-share amount. If the company is liquidated, participating preferred shareholders may also have the right to be paid back the purchasing price of the stock as well as a pro-rata share of remaining proceeds received by common shareholders. Significance to Investors. Shareholder. Preferred Stock.