An Example: Pricing a European Put on a Futures Contract

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Pricing, Financial Modeling, Financial Risk, Financial Engineering

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AZ

Jul 18, 2020

A very well designed course! I knew some topics prior to the course and it helped me to strengthen my knowledge on derivative market systematically, particularly on interest rate derivatives

NT

Jan 20, 2017

This course is amazing. The structure is very clear and coherent. It is very mathematically focused and the models are interesting. I would always recommend this course to my colleagues.

從本節課中
Option Pricing in the Multi-Period Binomial Model
Derivatives pricing in the binomial model including European and American options; handling dividends; pricing forwards and futures; convergence of the binomial model to Black-Scholes.

教學方

  • Placeholder

    Martin Haugh

    Co-Director, Center for Financial Engineering
  • Placeholder

    Garud Iyengar

    Professor

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