概要

This eCourse consists of two modules. Module 1 examines alternative numerical methods which allow option practitioners to value a wider range of instruments, and can also incorporate different price evolution assumptions.

Module 2 introduces the Black-Scholes pricing model for options, one of the most famous in modern finance. It examines the foundations of the approach, particularly the key issues of replication and risk-neutrality, and gives examples of both the basic pricing formula and the simple extensions that followed soon after. It also highlights some potential shortcomings with the approach.

宗旨

On completion of this course, you will be able to:
- Describe how the binomial pricing model generates an option price through discrete changes in a future asset price, and how this procedure can be used to calculate American option prices
- Explain how numerical procedures have evolved beyond the binomial pricing model
- Describe how Monte Carlo simulations can be used to calculate values for options which are outside the scope of simple Black-Scholes or lattice models
- Explain the concepts of the riskless portfolio and risk-neutrality
- Price simple European options using the basic Black-Scholes 'family' of option pricing models
- List the shortcomings of the Black-Scholes approach

內容

Module 1: Options - Beyond Black-Scholes
Topic 1: Binomial Option Pricing
Topic 2: Extensions to Basic Numerical Methods
Topic 3: Monte Carlo Simulation

Module 2: Options - Replication, Risk-Neutrality, & Black-Scholes
Topic 1: The Riskless Portfolio
Topic 2: The Black-Scholes approach to Option Pricing
Topic 3: Beyond Black-Scholes