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:
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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.
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Views: 413670
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: 234873
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: 139879
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: 152283
Bionic Turtle

Share options and option pricing (part 1) - 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/ ***

Views: 4000
OpenTuition

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: 74400
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: 172646
Option Alpha

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: 35997
Kevin Bracker

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: 8775
New York Institute of Finance

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

Views: 3492
MBAbullshitDotCom

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

Views: 40054
profbillbyrne

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: 32391
Kevin Bracker

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: 2117
WolvesAndFinance

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/ ***

Views: 3758
OpenTuition

Buy Revamp - https://sfmguru.in/revamp-ca-final-sfm-revision-book/ Revise the entire SFM in a day
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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: 4285
CA Nikhil Jobanputra

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

Views: 3124
Balazs Holczer

Using Black Scholes formula and Z-table to find probabilities corresponding to d1 and d2.

Views: 5522
Qobil Yunusov

Buy The Book Here: https://amzn.to/2CLG5y2
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The Black–Scholes or Black–Scholes–Merton model is a mathematical model for the dynamics of a financial market containing derivative investment instruments. From the partial differential equation in the model, known as the Black–Scholes equation, one can deduce the Black–Scholes formula, which gives a theoretical estimate of the price of European-style options and shows that the option has a unique price regardless of the risk of the security and its expected return. The formula led to a boom in options trading and is widely used, although often with adjustments and corrections, by options market participants.
Based on works previously developed by academics and practitioners, such as Louis Bachelier and Ed Thorp among others, Fischer Black and Myron Scholes demonstrated in the late 1960s that a dynamic revision of a portfolio removes the expected return of the security, thus inventing the risk neutral argument. After three years of efforts, the formula was published in 1973 in an article entitled "The Pricing of Options and Corporate Liabilities", in the Journal of Political Economy. Robert C. Merton was the first to publish a paper expanding the mathematical understanding of the options pricing model, and coined the term "Black–Scholes options pricing model". Merton and Scholes received the 1997 Nobel Memorial Prize in Economic Sciences for their work, the committee citing their discovery of the risk neutral dynamic revision as a breakthrough that separates the option from the risk of the underlying security. Although ineligible for the prize because of his death in 1995, Black was mentioned as a contributor by the Swedish Academy.
The key idea behind the model is to hedge the option by buying and selling the underlying asset in in line with its delta and, as a consequence, to eliminate risk. This type of hedging is called "dynamic delta hedging" and is the basis of more complicated hedging strategies such as those engaged in by investment banks and hedge funds.
The model's assumptions have been relaxed and generalized in many directions, leading to a plethora of models that are currently used in derivative pricing and risk management. It is the insights of the model, as exemplified in the Black–Scholes formula, that are frequently used by market participants, as distinguished from the actual prices. These insights include no-arbitrage bounds and risk-neutral pricing. Further, the Black–Scholes equation, a partial differential equation that governs the price of the option, enables pricing using numerical methods when an explicit formula is not possible.
The Black–Scholes formula has only one parameter that cannot be directly observed in the market: the average future volatility of the underlying asset, but this can be backed out from the price of other options.
In this video we learn about the model, the assumptions required for the model and about what goes in to it.
We also learn about Implied volatility and the VIX Index. The VIX Index is a calculation designed to produce a measure of constant, 30-day expected volatility of the U.S. stock market, derived from real-time, mid-quote prices of S&P 500® Index (SPXSM) call and put options. On a global basis, it is one of the most recognized measures of volatility -- widely reported by financial media and closely followed by a variety of market participants as a daily market indicator.
pricing options using black scholes merton
Subscribe so that you can see future videos on this topic,

Views: 158
Patrick Boyle

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

Views: 23933
Rajiv Kalebar

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

Views: 24908
CA Mayank Kothari

@ 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: 13160
Foreign Exchange Maverick Thinkers

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Views: 16063
CA PAVAN KARMELE

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: 3022
Excelasy by Nitin Surana

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: 6449
Frank Conway

Although the Black-Scholes option pricing model makes several assumptions, the most important is the first assumption that stock prices follow a lognormal distribution (and that volatility is constant). Specifically, the model assumes that log RETURNS (aka, continuously compounded returns) are normally distributed, such that asset PRICES are lognormally distributed.

Views: 837
Bionic Turtle

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

Views: 7104
Nattakit Chokwattananuwat

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

Views: 9503
Mehmet Akgun

I'm stepwise deriving Black-Scholes (1973) European call option pricing formula using martingale (probabilistic) approach. In the video classical tools such as Ito's lemma, Girsanov theorem so at least basic knowledge of stochastic calculus is essential.

Views: 14169
Marek Kolman

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: 73377
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: 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: 42235
MIT OpenCourseWare

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: 10795
Quant Channel

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: 66448
Bionic Turtle

Training on Black Scholes Model by Vamsidhar Ambatipudi

Views: 571
Vamsidhar Ambatipudi

A tutorial on options valuation to boost your FRM and CFA Level 1 preparation by EduPristine. EduPristine is one of the largest exam prep providers for finance certifications like CFA, FRM and PRM. Pristine offers certificate programs in finance like financial modeling in Excel.

Views: 6228
EduPristine

Views: 9283
yaacov kopeliovich

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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Views: 518
Tackle Trading

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

Views: 1380
Vamsidhar Ambatipudi

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

Views: 4970
MODELEXAM

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: 2483
Mancinelli's Math Lab

Option pricing using the Black Scholes Model
Put Call Parity

Views: 14901
IFT

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: 167344
Khan Academy

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: 687
TAMIL SHARE MARKET

A demonstration of Black and Scholes model for valuing European Call Options with a non-dividend paying stock as an underlying asset. In this episode, we cover N (d1) and N (d2)

Views: 78563
Friendly Finance with Chandra S. Bhatnagar

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: 4541
Stanford Graduate School of Business

Speaker: Jason Strimpel (@JasonStrimpel)
Python has become an increasingly important tool in the domain of quantitative and algorithmic trading and research. This extends from senior quantitative analysts pricing complex derivatives using numerical techniques all the way to the retail trader using closed form valuation methods and analysis techniques. This talk will focus on the uses of Python in discovering unobserved features of listed equity options.
The Black-Scholes option pricing formula was first published in 1973 in a paper called "The Pricing of Options and Corporate Liabilities". In that paper Fischer Black and Myron Scholes derived an equation which estimates the price of an option over time. This formula and its associated "greeks" have become ubiquitous in options trading.
In this talk, we'll demonstrate how to gather options data using the Pandas module and apply various transformations to obtain the theoretical value of the option and the associated greeks. We'll then extend the talk to discuss implied volatility and show how to use Numpy methods to compute implied volatility. We'll use the results to visualize the so-called volatility skew and term structure to help inform potential trading decisions.
Event Page: http://www.meetup.com/PyData-SG/events/226837711/
Produced by Engineers.SG
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Views: 3238
Engineers.SG

This first method of option pricing (Black Scholes) is very simple to implementate because it's a closed formula. We can calcul the price of a Call/Put, and some of the greeks like the Delta, the Gamma, the Vega, the Theta or the Rho

Views: 1770
Alexis David

[xls to go here] Black-Scholes-Merton description to go here

Views: 808
Bionic Turtle

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

Views: 4475
Brian Hyde

Lecturer: Prof. Shimon Benninga
We show how to price Asian and barrier options using MC. A starting point is an extended example of how to use MC to price plain vanilla calls. This example illustrates the basic principles of MC pricing for options.

Views: 46716
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