Options Valuation
Über den Vortrag
Der Vortrag „Options Valuation“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Financial Markets and Products“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
- Complications in Valuing Options
- Binomial Method of Valuing Options
- Replicating Call Option
- Replicating Put Option
Dozent des Vortrages Options Valuation
Edu Pristine
Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, EduPristine is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, Operational Risk Modeling etc. It was founded by industry professionals who have worked in the area of investment banking and private equity in organizations such as Goldman Sachs, Crisil - A Standard & Poors Company, Standard Chartered and Accenture.EduPristine has conducted corporate training for various leading corporations and colleges like JP Morgan, Bank of America, Ernst & Young, Accenture, HSBC, IIM C, NUS Singapore etc. EduPristine has conducted more than 500,000 man-hours of quality training in finance.
http://www.edupristine.com
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Auszüge aus dem Begleitmaterial
... Method of Valuing Options. An Example: -Replicating Call Option -Replicating Put Option -Risk Neutral Valuation Change in ...
... Complications that arise in valuing Options -Impossible to quantify risks associated with the Option cash flows risks associated ...
... in any given interval of time -Determining Option pay-offs at these prices -Replicating the same pay-offs in a package consisting of assets that can be valued -Alternatively, determining probability of each pay-off to ...
... was a bit less than 4 percent per year, or about 2 percent for six months. The stock either falls to ...
... (Confidential) Solution The pay-offs are as follows: ...
... Calculated as shown below ... value of put = -0.4286 shares + PV( Rs. 48.57) ...
... as shown below: The value of put therefore is: Value of put = -0.4286 shares + PV( Rs. 48.57) (safe ...
... of valuing options an example replicating call option peplicating put option risk neutral valuation change in ...
... Complications that arise in valuing options. Impossible to quantify risks associated with the option cash flows. Risks ...
... any given interval of time. Determining option pay-offs at these prices. Replicating the same pay-offs in a package consisting of assets that can be valued. Alternatively, determining probability of each pay-off ...
... was a bit less than 4 percent per year, or about 2 percent for six months. The stock either falls to Rs ...
... The pay-offs are as follows: 8 Stock Price = Rs. ...
... as in the previous example for the call option. It follows that the value of the call today should be equal to the value of 0.5714 shares less present value of Rs. 36.43. Thus, value of Call = Rs. 12.86 ...
... be borrowed? The number of shares to be held is give by the option delta, given by: The amount to be borrowed is equal to the present value of the difference between the pay-offs from the option and pay offs from ...
... Calculated as shown below: 13 4286 .0 75 . 63 33 . 113 25 . 21 0 = prices share possible of spread price option of possible spread scenario 1 scenario ...
