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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: 129130 Option Alpha
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: 13019 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: 371765 Khan Academy
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: 216147 Kevin Bracker
NISM ED - Option Pricing Models
 
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This video explains about the 2 option pricing models used in the derivatives market
Views: 2887 MODELEXAM
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: 133520 Bionic Turtle
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: 37219 Matt Brigida
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
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: 22173 FinTree
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: 397 CME Group
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: 2732 tastytrade
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: 36693 MIT OpenCourseWare
How are Options Priced? - Understanding Options Pricing Factors
 
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How are Options Priced? - Understanding Options Pricing Factors by The Options Industry Council (OIC) For The Full Basic Options Strategies and Concepts Series click here https://goo.gl/TA8zlN What’s more important than the actual option price in your options portfolio? Not much. In this webinar, learn about the forces that both generate your option prices and make them move. He’ll also go over the impact of pricing factors on your various option strategies – and make time for some of your questions. About the series: Get an in depth understanding of basic options trading strategies and core concepts
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: 116283 YaleCourses
Robert Merton - Option Pricing Model
 
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His first professional association with a hedge fund came in 1968. His advisor at the time, Paul Samuelson, brought him on board Arbitrage Management Company (AMC), to join founder Michael Goodkin and chief executive Harry Markowitz. AMC is the first known attempt at computerized arbitrage trading. After a successful run as a private hedge fund, AMC was sold to Stuart & Co. in 1971.[5] In 1993, Merton co-founded a hedge fund, Long-Term Capital Management, which earned high returns for four years but later lost $4.6 billion in 1998 and was bailed out by a consortium of banks and closed out in early 2000. Merton’s research focuses on finance theory including lifecycle finance, optimal intertemporal portfolio selection, capital asset pricing, pricing of options, risky corporate debt, loan guarantees, and other complex derivative securities.
Views: 377 scottab140
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: 55647 Option Alpha
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: 242 scottab140
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: 9158 Quant Channel
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: 2243 Alexander Ockenden
Paul Wilmott on Quantitative Finance, Chapter 15, Binomial model
 
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In chapter 15 I learned about the binomial model. The binomial model is a simple discrete time model of asset prices that lets you calculate option prices numerically.
Views: 37532 Nathan Whitehead
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: 3861 Pat Obi
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: 30598 Kevin Bracker
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: 53955 finCampus Lecture Hall
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: 25372 finCampus Lecture Hall
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: 33217 Kevin Bracker
Option Pricing Models using R
 
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Training on Option Pricing Models using R by Vamsidhar Ambatipudi
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: 67624 finCampus Lecture Hall
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: 1596 WolvesAndFinance
Black Scholes Pricing Model
 
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Financial Mathematics 3.4 - Black Scholes PDE solution giving pricing on Options
Views: 38321 profbillbyrne
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: 6944 Mehmet Akgun
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: 43750 TAUVOD
American Binary Option Pricing: 3 Period Binomial Tree Model
 
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www.investmentlens.com We price an american binary call option in a 3 period binomial tree model. Idea is to show how an option with a particular payoff can be priced in discrete time framework. While not a prerequisite, watching tutorial on risk neutral valuation would be helpful as we show how we derive the risk neutral probability of asset pricing going up in each period.
Which Tesla Model 3 Options Should You Buy?
 
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The Tesla Model 3 is now in production and it's time to start making some tough decisions. Which options should you buy and which ones can you skip? In this video, I'll share my experiences when picking out options for my Model S and give some insight into which Model 3 options you should choose depending on your situation. This is a personal choice and depends heavily on your situation, but I will do my best to provide some sample configurations for most people. Whether your budget is $35,000, $45,000, or $56,500, there is a Model 3 for you. Buying a Model S or Model X? Consider using my referral link to get free unlimited supercharging for your car: http://ts.la/tyler5854 Shiver me Twitters: https://twitter.com/Gur814 Music: "Six", "Stranger Think", "Dief", and "Match Cut" by C418 https://c418.bandcamp.com/ "Newsroom" by Riot (YouTube free music) "Paradox" by Auditory Cheesecake https://soundcloud.com/auditory_cheesecake
Views: 138292 Gur814
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: 14912 Julian Aziz
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: 28356 Burbs Tutorials
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.
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: 21441 finCampus Lecture Hall
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: 5066 Frank Conway
106 (b) - No Arbitrage Pricing Theory
 
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Describes No Arbitrage Pricing in a single period binomial model
Views: 9565 FinMath Simplified
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/
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: 39478 Bionic Turtle
Black Scholes Option Pricing Model
 
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Training on Black Scholes Option Pricing Model for CT 8 Financial Economics by Vamsidhar Ambatipudi
Binomial Option Pricing Model_1period_Part1 - Pat Obi
 
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Derivatives lecture at Purdue University Calumet
Views: 3116 Pat Obi
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: 18104 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: 2754 WikiAudio
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.
Binomial Option Pricing Model - Pat Obi
 
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Introduction to binomial option pricing model
Views: 3753 Pat Obi
Binomial Option Pricing Model
 
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Training on Binomial Option Pricing Model by Vamsidhar Ambatipudi

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