Links visited in class implied volatility of asset from call option - - PowerPoint PPT Presentation

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Links visited in class implied volatility of asset from call option - - PowerPoint PPT Presentation

Nov 15, 2023 570 likes •1.38k views

14.0 Implied volatility Links visited in class implied volatility of asset from call option value artificial data plot Newton iter- ates.html 1 14.3 Option value as a function of volatility Links visited in class Class website slides from last

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14.0 Implied volatility

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Links visited in class

implied volatility of asset from call option value artificial data plot Newton iter- ates.html 1

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14.3 Option value as a function of volatility

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Class website slides from last day, Graphics/animation implied volatility of asset from call option value Newton iter- ates, Spreadsheet implied volatility of asset from call option value Newton iterates and Goal seek The following computations of implied volatility are based on real market data for

  • ptions in mid April with mid/late June expirations.

Implied Volatility of asset from call option values XLNX 20190416, Implied Volatility of asset from call option values XLNX 20180409 1

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15.3 Monte Carlo for option valuation

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15.4 Monte Carlo for Greeks

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16.3 Deriving the parameters

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18.4 Binomial method for an American put

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Class website slides from last day, binomial american put. binomial american put python note code for Vexer, Vhold, max(Vexer,Vhold) 1

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18.5 Optimal exercise boundary

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Heat and Black-Scholes PDEs

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Dividends and option values 1

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Dividends and option values 2

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Black-Scholes surface for Euro Call C(S,t) with possible asset trajectories plotted

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Black-Scholes surface for Euro Call C(S,t) for asset that pays a single dividend, with possible asset trajectories plotted on the surface. 1

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Dividends and option values 3

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19.0 Exotic options

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19.4 Asian options

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20.0 Historical volatility

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21.0 Monte Carlo Part II: variance reduction by antithetic variates

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21.4 Antithetic variates: uniform example

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monte carlo variance reduction antithetic ex1, monte carlo variance reduction antithetic ex2, monte carlo up and out call antithetic pairs. 1

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22.0 Monte Carlo Part III: variance reduction by control variates

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monte carlo variance reduction control variate ex1, monte carlo variance reduction control variate ex2 1