Derivatives_NYU_Lecture_2

Derivatives_NYU_Lecture_2 - Dynamic Assets Option Pricing 2...

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24/04/2009 Sebastien Galy, NYU Poly Tech Institute & BNP Paribas – [email protected] 1 Dynamic Assets & Option Pricing 2 Sebastien Galy
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Overview 1. In discrete time : Binomial Pricing (quick review) 2. In continuous time – Taylor to Ito (with applications) 3. In continuous time - Black, Scholes and Merton pricing (spot is the only risk) 4. In continuous time - Pricing with Characteristic functions 5. In discrete time – Pricing with Utility functions 6. In discrete time – Pricing with Certainty Equivalence Sebastien Galy, NYU Poly Tech Institute & BNP Paribas – [email protected]
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