Lecture

Black-Scholes-Merton Model

In course
DEMO: eiusmod do
Cupidatat occaecat et laborum enim mollit ullamco. Dolor ut incididunt consectetur do pariatur proident irure excepteur elit excepteur nostrud. Sint duis elit sint ad enim sit consectetur dolor officia adipisicing reprehenderit quis eu duis. Sunt ad adipisicing nulla aliquip commodo consequat labore quis.
Login to see this section
Description

This lecture introduces the Black-Scholes-Merton model, a continuous-time market model where uncertainty is generated by a Brownian motion. It covers the dynamics of stock prices, discounted prices, continuous trading strategies, self-financing conditions, call option pricing, the Black-Scholes-Merton equation, and replicating strategies. The lecture also discusses the put-call parity, option pricing dynamics, boundary conditions, and the Feynman-Kac formula for option pricing.

Instructor
elit excepteur proident
Ut tempor esse in sit irure labore. Anim ex non quis dolor est nisi ut. Ex velit fugiat incididunt mollit laborum. Consequat esse eiusmod excepteur laborum occaecat fugiat in Lorem.
Login to see this section
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.
Related lectures (40)
The Black-Scholes-Merton Model
Covers the Black-Scholes-Merton model, dynamics, self-financing strategies, and the PDE.
Financial Market Models: Arbitrage and Completeness
Explores arbitrage-free and complete financial market models, risk-neutral probabilities, structured notes pricing, and option hedging.
Options in Corporate Finance
Introduces the principles of options in corporate finance, covering markets, terminology, valuation, and pricing models.
Principles of Finance: Options in Corporate Finance
Explores options in corporate finance, covering graphical representations, option pricing, call-put parity, early exercise, and volatility estimation.
Portfolio Theory: Risk Parity Strategy
Explores Portfolio Theory with a focus on the Risk Parity Strategy, discussing asset allocation proportional to the inverse of volatility and comparing different diversified portfolios.
Show more

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.