Event Date:
Thursday, April 26, 2007 - 4:00pm
Event Location:
- Corwin Pavilion
Dr. Bruno Dupire, Bloomberg and NYU.
Public lecture
SLIDES PHOTOS POSTER
An Idiot's Guide to Option Pricing
Abstract: Option pricing puzzles the intuition; for instance the fair price of an option that pays when the market goes up does not depend on the probability the market goes up! We present and illustrate the main principles of option pricing, such as uncertainty modeling, arbitrage, completeness, risk neutrality, hedging, dominance, forward quantities, numerical methods,.... We make liberal use of toy examples to illustrate main concepts and paradoxes.
April 20, 2017 - 2:40pm