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Tag Archives: Option pricing
Pricing barrier options with simulations and sensitivity analysis with Greeks
Pricing barrier options with simulations and sensitivity analysis with Greeks In this article, Shengyu ZHENG (ESSEC Business School, Grande Ecole Program – Master in Management, 2020-2023) explains the pricing of barrier options with Monte-Carlo simulations and the sensitivity analysis of … Continue reading →
Posted in Contributors, Financial techniques
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Tagged Barrier options, down-and-in, down-and-out, Monte carlo simulations, Option pricing, Options, R file, up-and-in, up-and-out
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Pricing barrier options with analytical formulas
Pricing barrier options with analytical formulas As is mentioned in the previous post, the frequency of monitoring is one of the determinants of the price of a barrier option. The higher the frequency, the more likely a barrier event would … Continue reading →
Posted in Contributors, Financial techniques
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Tagged Barrier options, down-and-in, down-and-out, Monte carlo simulations, Option pricing, Options, R file, up-and-in, up-and-out
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Black-Scholes-Merton option pricing model
In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) explains the Black-Scholes-Merton model to price options. The Black-Scholes-Merton model (or the BSM model) is the world’s most popular option pricing model. Developed in … Continue reading →
Posted in Contributors, Financial techniques
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Tagged Brownian motion, BSM model, Call option, Derivatives, Option pricing, Options, Put option
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3 Comments
Options
Options This article written by Akshit GUPTA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) presents an introduction to Options. Introduction Options is a type of derivative which gives the buyer of the option contract the right, … Continue reading →
Posted in Contributors, Financial techniques
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Tagged Call option, Option pricing, Options, Put option
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6 Comments