Search results “Black scholes options pricing”

Created by Sal Khan.
Watch the next lesson:
https://www.khanacademy.org/economics-finance-domain/core-finance/derivative-securities/black-scholes/v/implied-volatility?utm_source=YT&utm_medium=Desc&utm_campaign=financeandcapitalmarkets
Missed the previous lesson? Watch here:
https://www.khanacademy.org/economics-finance-domain/core-finance/derivative-securities/interest-rate-swaps-tut/v/interest-rate-swap-2?utm_source=YT&utm_medium=Desc&utm_campaign=financeandcapitalmarkets
Finance and capital markets on Khan Academy: Interest is the basis of modern capital markets. Depending on whether you are lending or borrowing, it can be viewed as a return on an asset (lending) or the cost of capital (borrowing). This tutorial gives an introduction to this fundamental concept, including what it means to compound. It also gives a rule of thumb that might make it easy to do some rough interest calculations in your head.
About Khan Academy: Khan Academy offers practice exercises, instructional videos, and a personalized learning dashboard that empower learners to study at their own pace in and outside of the classroom. We tackle math, science, computer programming, history, art history, economics, and more. Our math missions guide learners from kindergarten to calculus using state-of-the-art, adaptive technology that identifies strengths and learning gaps. We've also partnered with institutions like NASA, The Museum of Modern Art, The California Academy of Sciences, and MIT to offer specialized content.
For free. For everyone. Forever. #YouCanLearnAnything
Subscribe to Khan Academy’s Finance and Capital Markets channel: https://www.youtube.com/channel/UCQ1Rt02HirUvBK2D2-ZO_2g?sub_confirmation=1
Subscribe to Khan Academy: https://www.youtube.com/subscription_center?add_user=khanacademy

Views: 389311
Khan Academy

Introduces the Black-Scholes Option Pricing Model and walks through an example of using the BS OPM to find the value of a call. Supplemental files (Standard Normal Distribution Table, BS OPM Formulas, and BS OPM Spreadsheet) are provided with links to the files in Google Documents.
tinyurl.com/Bracker-StNormTable
tinyurl.com/Bracker-BSOPM
tinyurl.com/Bracker-BSOPMspread

Views: 224924
Kevin Bracker

Join us in the discussion on InformedTrades:
http://www.informedtrades.com/1087607-black-scholes-n-d2-explained.html
In this video, I give a general overview of the Black Scholes formula, and then break down N(d2) in detail. I cover most of the entire formula in this video.
My goal is to describe Black Scholes in a simple, easy to understand way that has never been done before. Because this parts of the formula are somewhat complicated, I repeat parts several times during this video.
See our other videos on Black Scholes: http://www.informedtrades.com/tags/black%20scholes/
Practice trading options with a free options trading demo account: http://bit.ly/apextrader

Views: 132933
InformedTrades

This is Black-Scholes for a European-style call option. You can download the XLS @ this forum thread on our website at http://www.bionicturtle.com.

Views: 148233
Bionic Turtle

MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
View the complete course: http://ocw.mit.edu/18-S096F13
Instructor: Vasily Strela
This is a lecture on risk-neutral pricing, featuring the Black-Scholes formula and risk-neutral valuation.
License: Creative Commons BY-NC-SA
More information at http://ocw.mit.edu/terms
More courses at http://ocw.mit.edu

Views: 69567
MIT OpenCourseWare

http://optionalpha.com - Option traders often refer to the delta, gamma, vega and theta of their option position as the "Greek" which provide a way to measure the sensitivity of an option's price. However, it's important that you realize that the "Greeks" don't determine pricing, just reflect what could happen in pricing changes for moves in the stock, implied volatility, etc.
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- Kirk & The Option Alpha Team

Views: 146502
Option Alpha

MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
View the complete course: http://ocw.mit.edu/18-S096F13
Instructor: Stephen Blythe
This guest lecture focuses on option price and probability duality.
License: Creative Commons BY-NC-SA
More information at http://ocw.mit.edu/terms
More courses at http://ocw.mit.edu

Views: 38620
MIT OpenCourseWare

New York Institute of Finance instructor Anton Theunissen explains the history, mechanics, and application of the Black-Scholes Model of options pricing. Visit https://www.nyif.com/ to browse career advancing finance courses.

Views: 7458
New York Institute of Finance

The world's quickest summary comparison between the two common ways to price an option: Black-Scholes vs. Binomial. For more financial risk videos, visit our website! http://www.bionicturtle.com.

Views: 64847
Bionic Turtle

Financial Mathematics 3.4 - Black Scholes PDE solution giving pricing on Options

Views: 39028
profbillbyrne

How to calculate option price using Black and Scholes Model.
Option Pricing Method
Option premium calculating method.

Views: 22328
Rajiv Kalebar

FinTree website link: http://www.fintreeindia.com
This series of videos discusses the following key points:
1) Lognormal property of stock prices, the distribution of rates of return, and the calculation of expected return.
2) Realized return and historical volatility of a stock.
3) Assumptions underlying the Black- Scholes -Merton option pricing model.
4) Value of a European option using the Black- Scholes -Merton model on a non-dividend-paying stock.
5) Complications involving the valuation of warrants.
6) Implied volatilities and describe how to compute implied volatilities from market prices of options using the Black- Scholes -Merton model.
7) How dividends affect the early decision for American call and put options.
8) Value of a European option using the Black- Scholes -Merton model on a dividend-paying stock.
9) Use of Black's Approximation in calculating the value of an American call option on a dividend-paying stock.
FB Page link :http://www.facebook.com/Fin...
We love what we do, and we make awesome video lectures for CFA and FRM exams. Our Video Lectures are comprehensive, easy to understand and most importantly, fun to study with!
This Video lecture was recorded by our popular trainer for CFA, Mr. Utkarsh Jain, during one of his live CFA Level I Classes in Pune (India).

Views: 26083
FinTree

FOR PEN DRIVE CLASSES
CONTACT NO. 9977223599, 9977213599
E-MAIL- [email protected]

Views: 12439
CA PAVAN KARMELE

@ Members :: This Video would let you know about parameters of Black Scholes Options Pricing Model (BSOPM) like Stock Price , Strike Price , Time to Maturity , Volatility ( Implied Volatility ) and Risk Free Interest Rates.
You are most welcome to connect with us at 91-9899242978 (Handheld) , Skype ~Rahul5327 , Twitter @ Rahulmagan8 , [email protected] , [email protected] or visit our website - www.treasuryconsulting.in

Views: 12375
Foreign Exchange Maverick Thinkers

Basics of Options Pricing http://www.financial-spread-betting.com/ PLEASE LIKE AND SHARE THIS VIDEO SO WE CAN DO MORE! Options pricing can be pretty complicated; you have the Black-Scholes formula, you have those big derivative based equations but as traders we just want to break down into the big fundamentals basics so we can the major components that effects the options price we are trading.
We have 2 components to an options price
1) We have the intrinsic value; intrinsic value is the profit that is built into the option already. So for instance if you have bought a $50 put option (bearish view) and the stock is trading at $40, that option already has $10 worth of value. So the instrinsic value of that is $10.
2) We have the extrinsic value. Extrinsic value (also known as time value or premium) is where the intricacies start. The premium consists of the time to expiry and implied volatility. As time increases so does the extrinsic value as the longer the time to expiry the larger the likelihood of bigger moves. Implied volatility is how volatile people perceive the stock price to be in the future.
What are the options for time-value decay, and how can a trader benefit from it?
The price of an option is the intrinsic value plus time value. For example a 95 call with the asset at 100 and a call price of $6.50 - (5.00 intrinsic) = $1.50 time value. On expiration day, with no time left. The time value will be zero.
But the time value will not decay in linear fashion, there is slope. Most often you will find time decay (theta) will increase rapidly after 18–22 days to expiration.
How does volatility work for an option buyer? Volatility (in annualized percentage form) is one of the variables for the black-schole option price ‘model’. It is used to price options to get an estimate of probability of a range of outcomes at expiration. Volatility measure the magnitude of price changes. Without regard for direction.
Once an option trades and is active and price is put into the BSM model and the Implied volatility is calculated. Implied volatility its the markets expectations of the magnitude of price changes in the future.
How is implied volatility different from historical volatility?
Historical volatility is the standard deviation of price returns of the underlying asset (on which the option is based) has traded IN THE PAST. The number is expressed as an annual percentage number.
Historical volatility tells us about the past. it is the annulled standard deviation of stock returns through the last sale or closing price.
Implied volatility is the volatility (same as historical - standard deviation per annum) is the volatility implied by the price of the option. It is the market's expectation of the volatility of the underlying asset from “today” until the expiration date of the option.
So historical tell us about the past, implied tells us about the future.
Complete Options Trading Course
Check the rest of the videos on our Options Trading videos playlist at
https://www.youtube.com/watch?v=43bk2a6CPr8&list=PLnSelbHUB6GQJHlFjss97-zlhYi_ndq9K

Views: 633
UKspreadbetting

Join Telegram "CA Mayank Kothari"
https://t.me/joinchat/AAAAAE1xyAre8Jv7G8MAOQ
Video Lectures @ http://www.conferenza.in

Views: 22287
CA Mayank Kothari

Solving for the value of a call using the Black-Scholes Option Pricing Model (BSOPM) in Excel and in the TIBAII+

Views: 421
Dr. Lynn Kugele

ZACH DE GREGORIO, CPA
www.WolvesAndFinance.com
This video discusses the Black-Scholes Option Pricing Model. This math formula was first published in 1973 by Fischer Black and Myron Scholes. They received the Nobel Prize in 1997 for their work. This equation calculates out the value of the right to enter into a transaction. The math is complicated, but the concept is simple. It is based on the idea that the higher the risk, the higher the return. So the value of an option is based on the riskiness of the payout. If a payout is uncertain, you would be willing to pay less money. The way the Black-Scholes equation works is with five main variables: volatility, time, current price, exercise price, and risk free rate. Each variable has some level of risk associated with it which drives the value of the option. By entering in your assumptions, it calculates a value. Calculators are available online for this equation. This video shows an example with actual numbers. You can understand the variable sensitivity by creating a table. You can change the value of the current price while keeping the other variables the same.
Neither Zach De Gregorio or Wolves and Finance Inc. shall be liable for any damages related to information in this video. It is recommended you contact a CPA in your area for business advice.

Views: 1809
WolvesAndFinance

Buy Revamp - https://sfmguru.in/revamp-ca-final-sfm-revision-book/ Revise the entire SFM in a day
Subscribe to Channel for more videos: https://www.youtube.com/channel/UCiPzkqrzDsoq-pLrloT7Fcw/featured
Option valuation refers to the amount of premium to be determined. In other words, what should be the fair amount of an option premium? Determining such fair value or fair premium is known as option valuation.
Once option valuation is made, one will come to know as to what should be the premium for a particulars option. On comparing such fair premium with the actual premium, the investor can decide whether he should buy such options or sell such options.
Consider the following situations:
1. If actual premium is more than the fair premium, the option premium is considered to be overpriced and the investor will prefer selling or writing such option.
2. If actual premium is less than the fair premium, the option premium is considered to be underpriced and the investor will prefer buying or holding such option.
For determining fair value of an option, there are various approaches or models. These are mentioned below:
1. Portfolio Replication Model
2. Risk Neutral Model
3. Binomial Model
4. Black & Scholes Model
All the above approaches can be used for determining the value of call options only. For determining the value of put options, the following procedure should be used:
1. Determine the value of call option for the same exercise price.
2. Use ‘Put-Call Parity’ Theory for determining the value of put option through the value of call option.
For more visit https://sfmguru.in/
#OptionValuation , #Finance , #CAFinal , #FinancialLearning , #CAFinalSFM , #StrategicFinancialManagement , #SFM ,

Views: 1090
CA Nikhil Jobanputra

Pricing Options using Black-Scholes Model, part 1 contain calculation on excel using data from NSE and part 2 explains how to use goal seek function to get implied volatility.

Views: 2565
Excelasy by Nitin Surana

Watch FULL video at http://www.MBAbullshit.com

Views: 3366
MBAbullshitDotCom

A walkthrough of the Black Scholes Option Pricing Model on a Spreadsheet. Spreadsheet file is linked and available in Google Docs. Link for video is tinyurl.com/Bracker-BSOPMSpread

Views: 34270
Kevin Bracker

This video shows how to calculate call and put option prices on excel, based on Black-Scholes Model.

Views: 7981
Mehmet Akgun

This clip is part of Professor Campbell Harvey's MBA introductory course on Global Financial Management

Views: 6218
Campbell Harvey

2/2016 Thammasat University,
5702640250 Jun Meckhayai
5702640540 Nattakit Chokwattananuwat
5702640722 Pakhuwn Angkahiran
5702640870 Pearadet Mukyangkoon
5702640987 Piseak Pattarabodee

Views: 5564
Nattakit Chokwattananuwat

A continuation of the Black-Scholes Option Pricing Model with the focus on the put option.
Templates available at:
tinyurl.com/Bracker-StNormTable
tinyurl.com/Bracker-BSOPM
tinyurl.com/Bracker-BSOPMSpread

Views: 31484
Kevin Bracker

Ito Calculus plays a critical role with Deriving the
Black Scholes Merton Equation which we had previously
used without going into how we get it?
We begin with Ito Calculus and how it differs from
standard calculus. We then show how a portfolio of
shares and derivatives can be riskless(at that point in time
since hedging has to be dynamic) and how the returns from
it must be at the risk free return rate.
That puts our foundations on more sound footing. We'll do a
few more lessons on foundations next before moving on.

Views: 9881
Quant Channel

The value of a European call must be equal to a replicating portfolio that has two positions: long a fractional (delta) share of stock plus short a bond (where the bond = strike price). For more financial risk videos, visit our website! http://www.bionicturtle.com

Views: 72894
Bionic Turtle

How to Calculate the Price of a Call Option, the price of a Put Option and Put-Call Parity.
Here's the excel file if you wish to download it:
https://www.dropbox.com/s/a5jcbzy0u5dcvem/2010%20BSOPM%20Update.xlsx?dl=0

Views: 5547
Frank Conway

Training on Black Scholes Option Pricing Model for CT 8 Financial Economics by Vamsidhar Ambatipudi

Views: 954
Vamsidhar Ambatipudi

Quantitative Finance Bootcamp: http://bit.ly/quantitative-finance-python
Find more: www.globalsoftwaresupport.com

Views: 2109
Balazs Holczer

Created by Sal Khan.
Missed the previous lesson? Watch here:
https://www.khanacademy.org/economics-finance-domain/core-finance/derivative-securities/black-scholes/v/introduction-to-the-black-scholes-formula?utm_source=YT&utm_medium=Desc&utm_campaign=financeandcapitalmarkets
Finance and capital markets on Khan Academy: Interest is the basis of modern capital markets. Depending on whether you are lending or borrowing, it can be viewed as a return on an asset (lending) or the cost of capital (borrowing). This tutorial gives an introduction to this fundamental concept, including what it means to compound. It also gives a rule of thumb that might make it easy to do some rough interest calculations in your head.
About Khan Academy: Khan Academy offers practice exercises, instructional videos, and a personalized learning dashboard that empower learners to study at their own pace in and outside of the classroom. We tackle math, science, computer programming, history, art history, economics, and more. Our math missions guide learners from kindergarten to calculus using state-of-the-art, adaptive technology that identifies strengths and learning gaps. We've also partnered with institutions like NASA, The Museum of Modern Art, The California Academy of Sciences, and MIT to offer specialized content.
For free. For everyone. Forever. #YouCanLearnAnything
Subscribe to Khan Academy’s Finance and Capital Markets channel: https://www.youtube.com/channel/UCQ1Rt02HirUvBK2D2-ZO_2g?sub_confirmation=1
Subscribe to Khan Academy: https://www.youtube.com/subscription_center?add_user=khanacademy

Views: 162379
Khan Academy

This discussion centers on the development of the Black-Scholes options pricing model, and how it has influenced both the career of Professor Scholes and the world of finance.

Views: 3721
Stanford Graduate School of Business

Option pricing using the Black Scholes Model
Put Call Parity

Views: 14558
IFT

This video explains about the 2 option pricing models used in the derivatives market

Views: 3785
MODELEXAM

Explains how to use a freely available stock option calculation app for iOS devices.

Views: 225
Joe Pimbley

https://zerodha.com/open-account?c=ZT1591
share market all videos given
1.INTRADAY PART-1
https://youtu.be/7mA9gCcOOFs
2.INTRADAY PART-2
https://youtu.be/0c8ZmxAkBLk
3.INTRADAY PART-3
https://youtu.be/Iqv5OgBiacY
4.INTRADAY PART-4
https://youtu.be/60jrp8uJD4Y
5.INTRADAY PART-5
https://youtu.be/xl5t0ONuhOM
6.INTRADAY PART-6
https://youtu.be/DtAZQei9MJM
7.SUPER TREND
https://youtu.be/mR3pAcGeuGQ
8.FLAG PATTERN PART-1
https://youtu.be/J9jqS6K34sQ
9.FLAG PATTERN PART-2
https://youtu.be/tWyCPosLJZ8
10.MOVING AVERAGE
https://youtu.be/oPD8oDVIUDU
11. INTRADAY VOLATILITY
https://youtu.be/ijoO3s35LAk
12. ORDER TYPE
https://youtu.be/FO5CpDJW1_I
13. PIVOT POINT
https://youtu.be/zZUKDs_IejE
14.INTRODUCTION OF COMMODITY
https://youtu.be/ZtfJKeJ7Gug
15.CRUDEOIL BEGINNING
https://youtu.be/6dtW_oFsULE
16. CRUDEOIL TREND LINE
https://youtu.be/qiIG5OlGBIA
17. CHANNEL PATTERN
https://youtu.be/JdBifcV6aLY
18.ACCENDING TRIANGLE
https://youtu.be/fsaJWa670zo
19.WEDGE PATTERN COMMODITY
https://youtu.be/k-G181Tw0GU
20. HEAD SHOULDER PATTERN
https://youtu.be/Z-Jxwlb17jc
21. COMMODITY TECHNICAL ANALYSIS
https://youtu.be/9NSayWFg-FI
22. COMMODITY OFFER BID
https://youtu.be/AxHI9IUgoHU
23. CRUDEOIL SUPPLY DEMAND
https://youtu.be/dCpfA0xQdc8
24. CRUDE IOL INVENTORY
https://youtu.be/FVX8dXGbZpE
25. COMMODITY MONTH CONTRACT
https://youtu.be/GbWV6shRXEQ
26. CRUDE OIL RISK MANAGEMENT
https://youtu.be/R5uw-yEsQys
27. TRADING SOFTWARE
https://youtu.be/Y2lVL6la9j8
28. TRADING DEMO ACCOUNT
https://youtu.be/BcXoB362AEg
29. RESULT CALENDER
https://youtu.be/rcD-FSD86cY
30. OHLC
https://youtu.be/Cptru7wgabs
31. TRADER VS INVESTOR
https://youtu.be/IOehiqIZP-k
32. BOOK VALUE
https://youtu.be/pxtKwQfVYxc
33. PE RATIO
https://youtu.be/wdAOKal6PMk
33. BETA
https://youtu.be/2WXVvdeEbO4
34. INVESTOR
https://youtu.be/CKwYRhPTnuE
35. RECENT NEWS
https://youtu.be/m8BROZ6SC1U
36. EPS IN SHARE
https://youtu.be/5SK-vpcivbk
37. NO SUPPLY NO DEMAND
https://youtu.be/KCvY5eMJdBI
38. STOCK SCRENNER
https://youtu.be/KmahCxev0lA
39. MUTUAL FUND EQUITY
https://youtu.be/CoiETaUgN9g
40. FIBONACCI
https://youtu.be/35uGumsMfKs
41. MOBILE TRADING APPS
https://youtu.be/Pq4PJvwanYI
42. RSI INDICATOR
https://youtu.be/XGOMF8SsspA
43. COMMODITY NEWS
https://youtu.be/fAnQ81nKOjM
44. VOLUME BASED TRADING
https://youtu.be/dqcoP8gGVc4
45. PARABOLICSAR
https://youtu.be/NNNOG9tYZqA
46. CCI INDICATOR
https://youtu.be/-QVtB3W3kWo
47. ADX
https://youtu.be/sBDzuP6XCJY
48. ATR
https://youtu.be/qU_8ng-BPeg
49.STOCHASTIC
https://youtu.be/yIaBTG3Nfo0
50. OPTION INTRODUCTION
https://youtu.be/yIaBTG3Nfo0
51. OPTION BEGINNERS-1
https://youtu.be/NKQPnG5YdLU
52. OPTION BEGINNERS-2
https://youtu.be/zMotqsrZj4I
53. OPTION BUY PUT
https://youtu.be/FKnGf70CulM
54. OPTION CHAIN
https://youtu.be/gBBlxqjbRxg
55. OPEN INTEREST
https://youtu.be/c1MaOdv6zWU
56. OPTION CONTRACT
https://youtu.be/mFThWdFeL0k
57. OPTION APPS
https://youtu.be/v3vFvfBn4wo
58. OPTION GREEKS EG
https://youtu.be/a6wFHxRnS94
59. OPTION DELTA-1
https://youtu.be/w9D0QMwwhC8
60. OPTION DELTA-2
https://youtu.be/r8dHlsS5iTA
60 OPTION GAMMA
https://youtu.be/oX-TqHHDgYU
61. MONEYNESS OPTION
https://youtu.be/5f0A39v4By4
62. OPTION INTINSIC
https://youtu.be/78NZ-COmRoA
63. OPTION THETA
https://youtu.be/dJUNdKDgEmw
64. OPTION VEGA
https://youtu.be/EDAA5netZ_s
65 OPTION RHO
https://youtu.be/Vz2GREnZqHg
66. OPTION CALCULATOR
https://youtu.be/GLlrrvS78fM
67. OPTION NIFTY
https://youtu.be/1jjUaxvVD7A
68. FUTURES TRADING INTRODUCTION
https://youtu.be/EV6k_F8Q_58
69. BETA TRADING
https://youtu.be/4LhVsu8LcI0
70. BLACKSCHOLES FORMULA
https://youtu.be/F7TE0tXc9Mg
71. MARGIN CALCULATOR
https://youtu.be/OO-FYG_78QQ
72. NEW INVESTOR
https://youtu.be/4K6U-wBxMnw
73. TRADING BACK TESTING
https://youtu.be/4K6U-wBxMnw
74. VOLATILITY-1
https://youtu.be/B1t9qNcnIj8
75. TRDER PLAN
https://youtu.be/la3ronS_DqU
76. VOLATILITY-2
https://youtu.be/la3ronS_DqU
77. SHARE MARKET REAL VIEW
https://youtu.be/lz9XfF6v4cw
78. TRADING SIGNAL GENERATED
https://youtu.be/bg-F4nm2T3Q
79. CANDLE BASIC
https://youtu.be/G8GAzpLepOg
80. BEAR CANDLE
https://youtu.be/PLgqI3KZby0
81. MARUBOZU CANDLE
https://youtu.be/PLgqI3KZby0
82. DOJI CANDLE
https://youtu.be/AuuWjJXvo9M

Views: 515
TAMIL SHARE MARKET

The Black Scholes model, is a mathematical model of price variation over time of financial instruments like stocks and ETFs that can be used to determine the price of an option.
The Black Scholes Model formula is the first widely accepted model for option pricing. It's used to calculate the theoretical value of options using current stock prices, expected dividends, the option's strike price, expected interest rates, time to expiration and expected volatility.
The Black-Scholes Model was first published in the Journal of Political Economy under the title "The Pricing of Options and Corporate Liabilities" by Fischer Black and Myron Scholes and later expanded upon in "Theory of Rational Option Pricing" by Robert Merton in 1973.
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Read full disclaimer here: https://tackletrading.com/legal-disclaimer/

Views: 132
Tackle Trading

Here is part 1 of 3 of the derivation I used to prove the price of a call option under the assumption that stock prices are lognormally distributed. I hope you find this straightforward and I encourage you to fill in the few details I did not prove.

Views: 1955
Mancinelli's Math Lab

Financial Markets (2011) (ECON 252)
After introducing the core terms and main ideas of options in the beginning of the lecture, Professor Shiller emphasizes two purposes of options, a theoretical and a behavioral purpose. Subsequently, he provides a graphical representation for the value of a call and a put option, and, in this context, addresses the put-call parity for European options. Within the framework of the Binomial Asset Pricing model, he derives the value of a call-option from the no-arbitrage-principle, and, as a continuous-time analogue to this formula, he presents the Black-Scholes Option Pricing formula. He contrasts implied volatility, as represented by the VIX index of the Chicago Board Options Exchange, which uses a different formula in the spirit of Black-Scholes, with the actual S&P Composite volatility from 1986 until 2010. Professor Shiller concludes the lecture with some thoughts about options on single-family homes that he launched with his colleagues of the Chicago Mercantile Exchange in 2006.
00:00 - Chapter 1. Examples of Options Markets and Core Terms
07:11 - Chapter 2. Purposes of Option Contracts
17:11 - Chapter 3. Quoted Prices of Options and the Role of Derivatives Markets
24:54 - Chapter 4. Call and Put Options and the Put-Call Parity
34:56 - Chapter 5. Boundaries on the Price of a Call Option
39:07 - Chapter 6. Pricing Options with the Binomial Asset Pricing Model
51:02 - Chapter 7. The Black-Scholes Option Pricing Formula
55:49 - Chapter 8. Implied Volatility - The VIX Index in Comparison to Actual Market Volatility
01:09:33 - Chapter 9. The Potential for Options in the Housing Market
Complete course materials are available at the Yale Online website: online.yale.edu
This course was recorded in Spring 2011.

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YaleCourses

Introduction to Derivatives lecture at Purdue University Northwest.
Sorry, poor audio but good enough for learning :-)

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Pat Obi

Watch an overview of using theoretical pricing models to predict the outcome of an options contract, including examples
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Topic: option payoff, Black Scholes, option pricing model, option pricing, premium, price, strike price, option probability

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CME Group

New to options? Check out our options introduction course: http://www.informedtrades.com/f115/
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VIDEO NOTES
This is the 12th in an ongoing series on Basic Options. In this video, we will look closer at Delta
In the last video, I mentioned that the Delta is the rate of change in an option's value when there is a change in the price of the underlying stock. More formally, it is the rate of change in an option's value with respect to changes in price of the underlying stock.
This is a little bit of an over simplification, but a simple way of thinking of it is- when the price of the stock changes one dollar, the Delta is the percent of $1 that the option will change in value.
For instance, if a Call Option has a delta of 0.6, and the stock increases $1 in value, then the Option will increase 60 cents in value. If a Call Option has a Delta of 0.4, and the stock increases $1 in value, then the option will increase 40 cents in value.
If a Put Option has a Delta of -0.3, and the stock decreases $1 in value, then the Put Option will increase 30 cents in value. If a Put Option has a Delta of -0.7, and the stock decreases $1 in value, then the Put Option will increase 70 cents in value.
I also mentioned in the last video, that the Delta is the Hedge ratio.
Let's look at an example. Let's say that a trader has 300 shares of stock, and he is worried that the price of the stock may drop. Therefore, the trader buys 5 Put Options that have a delta of -0.6. At this point, he is Delta Hedged. In other words, if the price of the stock drops $1, his 300 shares of stock drop a total of $300 in value. However, the Delta of -0.6 means that, for each $1 drop in the price of the stock, each Put Option Contract increases 60% of $100 or $60. The trader owns 5 Puts, so his stock decreased in value $300, but his Put Options increased $300 total.
In other words, the option contracts increased in value the exact same amount that the stock decreased in value, so the trader was hedged against loss.
If you remember from my last video, once the price of the stock does change, the Delta changes as well. As a stock goes up and down in value, the Delta increases and decreases.
This means that once the stock price moves, a once hedged position is no longer completely hedged. To maintain a hedge, the ratio of option contracts to shares of stock must be readjusted by increasing or decreasing the amount of shares of stock or option contracts so that the hedge ratio is once again balanced.
Delta Hedging was one of the keys to the Black Scholes formula. The theory was that if one could theoretically continue to keep readjusting the ratio of option contracts to shares of stock on a continuous basis, then one could be constantly hedged and theoretically remove all risk of loss. Therefore, if that is true, then a bunch of theories must apply, or one can place offsetting trades and make more money than one can make on a risk free investment such as a US Government Bond without risk of loss.
Delta Hedging must be adjusted for more than just the changes in the price of the stock as the Delta also changes when there is a change in volatility, Interest Rates, or the time left until the option expires.
Trading a hedged position is called Delta Neutral trading, and will be the subject of a later video.
An option's Delta is derived using probability. I mentioned in the first video that one can create a probability or odds curve of what the future value of the stock will be. For a Call Option, the Delta is derived from the a probability distribution of what the future value of the stock will be, multiplied by the probability that the stock will be above the option strike price. Put another way- If and only if the Option expires in the money, the Delta is a probability distribution of how far into the money the option will be.
So that a bit more on an option's Delta. In the next video, we will compare buying a call option to selling a put option. I hope you enjoyed this video. Thanks for watching.
Cheers
Tek

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InformedTrades

How to Calculate Option Theoretical Price for Nifty and Bank Nifty
#howtocalculateoptiontheoreticalprice #blackschoolprice #optiongreeks #blackscholes #blackandscholes

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Option Market Central

Steps to build a functional Black Scholes Options Pricing Model in Python. Link to Python code: https://www.dropbox.com/s/trwdvbc819eix68/BlackScholesDemo?dl=0

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Brian Hyde

Short note of the theory
Objective of this theory is that to find out price of option contract difference in the derivative market. 🙂

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unknown unknown

Real options - ACCA (AFM) lectures
Free ACCA lectures for the Advanced Financial Management (AFM) Exam
Please go to OpenTuition to download the AFM notes used in this lecture, view all remaining Advanced Financial Management (AFM) lectures, and post questions on the Ask the ACCA AFM Tutor Forums - We do NOT provide support on the youtube comments section.
*** Complete list of free ACCA lectures is available on https://opentuition.com/acca/afm/ ***

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OpenTuition

We look at what a Put and Call Option are before Pricing them
using Black Scholes with Excel in later videos.

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