Campus Event Calendar
Event Entry
What and Who
Option Pricing
Christoph Hundack
Seminar des Graduiertenkollegs
AG 1, AG 2
AG Audience
English
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Date, Time and Location
Monday, 2 March 98
16:00
60 Minutes
45
015
Saarbrücken
Abstract
An option is a contract which confers the right, but not the obligation, to buy or sell an asset by a given date at a predetermined price.
A variety of different types of options exist. Within the last decade they gained increasing importance: the trading volume measures in trillions of dollars.
In general it is difficult to determine the ``fair'' value of an option. For most types of options no exact pricing method (comparable to Black-Scholes formula) is available; therefore different heuristics are used. Several approaches are presented.
In particular we focus on methods for path-dependent options.
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Contact
Ülkü Coruh
9325-526
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