Trees (data structures) | Models of computation | Financial models | Mathematical finance
In finance, the binomial options pricing model (BOPM) provides a generalizable numerical method for the valuation of options. Essentially, the model uses a "discrete-time" (lattice based) model of the varying price over time of the underlying financial instrument, addressing cases where the closed-form Black–Scholes formula is wanting. The binomial model was first proposed by William Sharpe in the 1978 edition of Investments (ISBN 013504605X), and formalized by Cox, Ross and Rubinstein in 1979 and by Rendleman and Bartter in that same year. For binomial trees as applied to fixed income and interest rate derivatives see Lattice model (finance) § Interest rate derivatives. (Wikipedia).
Pricing Options Using the Binomial Tree (Risk Neutral Valuation Approach)
These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patrick on twitter here: https://twitter.com/PatrickEBoyle In finance, the binomial option
From playlist Class 3: Pricing Financial Options
Introduction to binomial option pricing model: two-step (FRM T4-6)
[my xls is here https://trtl.bz/2AruFiH] The binomial option pricing model needs: 1. A set of assumptions similar but not identical to those found in Black-Scholes; 2. A framework; i.e., risk-neutral valuation which allows us to infer the probability of an up-jump; 3. An assumption about a
From playlist Valuation and RIsk Models (FRM Topic 4)
Pricing Options Using Multi Step Binomial Trees
These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patrick on twitter here: https://twitter.com/PatrickEBoyle The ideas we developed for a si
From playlist Class 3: Pricing Financial Options
How to Price Options using a Binomial Tree (The Portfolio Approach)
How to Price Options using a Binomial Tree. The portfolio approach. These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patrick on twitter her
From playlist Class 3: Pricing Financial Options
FRM: Binomial (one step) for option price
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
From playlist Derivatives: Option Pricing
Pricing American Options using the Binomial Tree Method. - Options Trading Classes
These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patrick on twitter here: https://twitter.com/PatrickEBoyle This is the fifth video in our
From playlist Class 3: Pricing Financial Options
Binomial option pricing model for equity index, currencies, and futures options (FRM T4-9)
[here is my xls https://trtl.bz/2AZLCkA] Using a three-step binomial to price "options on other assets" (Hull 13.11 10th edition): equity index option, currency options and futures options (aka, options on futures contracts). The key difference is the calculation of p = probability of an u
From playlist Valuation and RIsk Models (FRM Topic 4)
Here is an spreadsheet example of pricing a European call option on a stock index (e.g., Dow Jones Utility) with a two step binomial. There are two basic process steps: 1. Build forward the "tree" of asset prices, 2. Then backward induction: value the option at each node as the PROBABILITY
From playlist Derivatives: Option Pricing
4 7 Binomial tree pricing Part 1
BEM1105x Course Playlist - https://www.youtube.com/playlist?list=PL8_xPU5epJdfCxbRzxuchTfgOH1I2Ibht Produced in association with Caltech Academic Media Technologies. ©2020 California Institute of Technology
From playlist BEM1105x Course - Prof. Jakša Cvitanić
Pricing Options - Revision Lecture
These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patrick on twitter here: https://twitter.com/PatrickEBoyle
From playlist Revision Lectures
Lecture 12 - Financial Time Series Data
This is Lecture 12 of the COMP510 (Computational Finance) course taught by Professor Steven Skiena [http://www.cs.sunysb.edu/~skiena/] at Hong Kong University of Science and Technology in 2008. The lecture slides are available at: http://www.algorithm.cs.sunysb.edu/computationalfinance/pd
From playlist COMP510 - Computational Finance - 2007 HKUST
Lecture 11 - Risk-Neutral Valuation
This is Lecture 11 of the COMP510 (Computational Finance) course taught by Professor Steven Skiena [http://www.cs.sunysb.edu/~skiena/] at Hong Kong University of Science and Technology in 2008. The lecture slides are available at: http://www.algorithm.cs.sunysb.edu/computationalfinance/pd
From playlist COMP510 - Computational Finance - 2007 HKUST
Pricing Options using Black Scholes Merton
These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patrick on twitter here: https://twitter.com/PatrickEBoyle The Black–Scholes or Black–Scho
From playlist Class 3: Pricing Financial Options
Binomial option pricing model: up/down jumps based on volatility (FRM T4-7)
[here is my xls https://trtl.bz/2Ri5R7r] Instead of arbitrarily selecting the up (u) and down (d) jumps in the binomial, we can "match them to a volatility input assumption, σ. The correct values are given by u = exp[σ*sqrt(Δt)] and d = 1/u; notice that the exponent is just apply the Squar
From playlist Valuation and RIsk Models (FRM Topic 4)
Binomial tree option price: American-style (FRM T4-8)
[My xls is here https://trtl.bz/2DcTVeo ] An American-style option allows for early exercise; therefore, it must be worth more than the equivalent European option. To price the option with the binomial, we only need to modify the non-terminal nodes so that their value equals Max (expected
From playlist Valuation and RIsk Models (FRM Topic 4)