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Option Pricing Model

Option Pricing Homework Help
A contract between a buyer and a seller which gives the buyer the right (however no obligation) to buy a particular underlying asset is called an Option (in finance). The buyer of the option has a deadline i.e., expiration date until which day he can exercise his right to buy the underlying asset at a agreed price (known as the Strike Price). For this the seller collects a premium from the buyer.

Types of Options:

Put Option – When somebody buys a Put option it gives him the right to sell the underlying asset at the agreed upon price.

Call Option - When somebody buys a Call option it gives him the right to buy the underlying asset at the agreed upon price.

The buyer of a Call or Put option can let the Options expire i.e., choose not to exercise his right to buy or sell the underlying asset.


What can be the underlying asset for Options?

The underlying assets of a Option can be:
  • A piece of property
  • A security (stock or bond)
  • A derivative instrument - such as a futures contract
  • Foreign currency
  • Stock Indices

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Topics in Option Pricing:

  • Arbitrage pricing in discrete Models
  • Arbitrage pricing in multiperiod Models
  • Black Scholes call price
  • Black Scholes option pricing model
  • Brownian motion
  • Credit risk and Credit Derivatives
  • Feynman-Kac representation
  • Girsanov theorem
  • Implied Volatility
  • Interest Rate Derivatives
  • Ito formula
  • Levy’s representation
  • Martingale measure
  • Martingale representation theorem
  • Normal and lognormal distributions
  • Option greeks
  • Replication
  • Risk Management
  • SDE’s
  • Self-financing portfolios
  • Stochastic Volatility models
  • The Binomial option pricing model
  • VAR

Exotic Options
  • Barriers
  • Choosers
  • Exchange options
  • Lookback