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Options Pricing & The Greeks
 
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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. ================== 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: 147207 Option Alpha
Black-Scholes Option Pricing Model -- Intro and Call Example
 
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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
Introduction to Options Pricing
 
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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
Introduction to the Black-Scholes formula | Finance & Capital Markets | Khan Academy
 
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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 Subscribe to Khan Academy’s Finance and Capital Markets channel: https://www.youtube.com/channel/UCQ1Rt02HirUvBK2D2-ZO_2g?sub_confirmation=1 Subscribe to Khan Academy: https://www.youtube.com/subscription_center?add_user=khanacademy
Views: 389829 Khan Academy
NISM ED - Option Pricing Models
 
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This video explains about the 2 option pricing models used in the derivatives market
Views: 3826 MODELEXAM
20. Option Price and Probability Duality
 
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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
FRM: Binomial (one step) for option price
 
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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
Options on Futures: Theoretical Pricing Models
 
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Watch an overview of using theoretical pricing models to predict the outcome of an options contract, including examples Subscribe: https://www.youtube.com/subscription_center?add_user=cmegroup Learn more: https://institute.cmegroup.com/ CME Group: http://www.cmegroup.com/ Follow us: Twitter: http://twitter.com/CMEGroup Facebook: http://www.facebook.com/CMEGroup Topic: option payoff, Black Scholes, option pricing model, option pricing, premium, price, strike price, option probability
Views: 482 CME Group
Basics of Options Pricing: How are Options Priced? ✅
 
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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
Options Trading: Understanding Option Prices
 
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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
FIN 376: Binomial Option Pricing and Delta Hedging
 
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Introduction to the binomial option pricing model, delta hedging, and risk-neutral valuation.
Views: 40598 Matt Brigida
Correctly Pricing Your Options Strategies
 
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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
Introduction to binomial option pricing model: two-step (FRM T4-6)
 
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[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
 
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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
Advanced Option Pricing: Stochastic Underlying Asset Volatility with the Heston Model
 
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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
CFA L2- Risk Neutral Probability- Binomial Option Pricing Model
 
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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
Calculating CEO stock option value (using Black-Scholes option pricing model)
 
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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
Black Scholes Options Pricing Model (BSOPM)
 
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@ 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
Black Scholes Option Pricing Model and Ito Calculus: The Concepts Behind the Equation
 
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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
FRM: Risk neutral valuation in option pricing model
 
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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
Pricing an American Option: 3 Period Binomial Tree Model
 
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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
Stephen Ross- Arbitrage pricing theory and Binomial Options Pricing Model
 
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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
Black-Scholes Model of Option Pricing Explained - NY Institute of Finance
 
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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.
Option Pricing with Dividend Adjustment - Pat Obi
 
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Introduction to Derivatives lecture at Purdue University Northwest. Sorry, poor audio but good enough for learning :-)
Views: 4105 Pat Obi
Pricing Options Using the Heston Model
 
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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
Binomial Option Pricing Model
 
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Training on Binomial Option Pricing Model Vamsidhar Ambatipudi
European Barrier Option Pricing: 2 Period Binomial Tree Model
 
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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 1
 
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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
Black-Scholes Option Pricing Model Spreadsheet
 
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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
Lecture 6:  Pricing Options with Monte Carlo
 
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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
Option Pricing Models using R
 
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Training on Option Pricing Models using R by Vamsidhar Ambatipudi
Views: 1291 Vamsidhar Ambatipudi
Black-Scholes Option Pricing Model Put
 
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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
Black Scholes Option Pricing Model
 
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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
Options Pricing: Black Scholes Model part 1
 
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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.
Black-Scholes Model on Excel for Option Pricing
 
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This video shows how to calculate call and put option prices on excel, based on Black-Scholes Model.
Views: 8006 Mehmet Akgun
Binomial Option Pricing: Tutorial on Risk Neutral Valuation
 
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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
Binomial Tree Option Pricing FIN 421
 
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I didn't have time to cover this question in the exam review on Friday so here it is.
Views: 15914 Julian Aziz
Binomial option pricing model (put, call) in Python
 
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Two weeks ago I had to implement this model, and I decided to share it with you. Music: ©Setuniman https://freesound.org/s/414279/
Black Scholes Option Pricing Model
 
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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
One Period Binomial Option Pricing: Portfolio Replication Approach
 
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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
17. Options Markets
 
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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
Binomial Option Pricing Model_1period_Part1 - Pat Obi
 
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Derivatives lecture at Purdue University Calumet
Views: 3247 Pat Obi
Black-Scholes Formula - Option Pricing with Monte-Carlo Simulation in Python
 
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Quantitative Finance Bootcamp: http://bit.ly/quantitative-finance-python Find more: www.globalsoftwaresupport.com
Views: 2134 Balazs Holczer
Binomial Option Pricing: Tutorial on Portfolio Replication Approach
 
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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
 
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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. =======Image-Copyright-Info======== License: Creative Commons Attribution-Share Alike 3.0 (CC BY-SA 3.0) LicenseLink: http://creativecommons.org/licenses/by-sa/3.0 Author-Info: Virginie Joly-Stroebel Image Source: https://en.wikipedia.org/wiki/File:Arbre_Binomial_Options_Reelles.png =======Image-Copyright-Info======== -Video is targeted to blind users Attribution: Article text available under CC-BY-SA image source in video https://www.youtube.com/watch?v=NvktC6WMsJI
Views: 3577 WikiAudio
Financial Derivatives - Binomial Option Pricing - The One-Period Model Formula
 
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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 Burbs Tutorials

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