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Lecture Derivatives: An introduction: Chapter 5 - Robert A. Strong

Lecture Derivatives - Chapter 5 introduction to option pricing. This chapter presents the following content: Introduction, a brief history of options pricing, arbitrage and option pricing, intuition into black-scholes. | © 2004 South-Western Publishing Chapter 5 Option Pricing Outline Introduction A brief history of options pricing Arbitrage and option pricing Intuition into Black-Scholes Introduction Option pricing developments are among the most important in the field of finance during the last 30 years The backbone of option pricing is the Black-Scholes model Introduction (cont’d) The Black-Scholes model: A Brief History of Options Pricing: The Early Work Charles Castelli wrote The Theory of Options in Stocks and Shares (1877) Explained the hedging and speculation aspects of options Louis Bachelier wrote Theorie de la Speculation (1900) The first research that sought to value derivative assets A Brief History of Options Pricing: The Middle Years Rebirth of option pricing in the 1950s and 1960s Paul Samuelson wrote Brownian Motion in the Stock Market (1955) Richard Kruizenga wrote Put and Call Options: A Theoretical and Market Analysis (1956) James Boness wrote A Theory and Measurement of Stock Option Value (1962) A Brief History of Options Pricing: The Present The Black-Scholes option pricing model (BSOPM) was developed in 1973 An improved version of the Boness model Most other option pricing models are modest variations of the BSOPM Arbitrage and Option Pricing Introduction Free lunches The theory of put/call parity The binomial option pricing model Put pricing in the presence of call options Binomial put pricing Binomial pricing with asymmetric branches The effect of time Arbitrage and Option Pricing (cont’d) The effect of volatility Multiperiod binomial option pricing Option pricing with continuous compounding Risk neutrality and implied branch probabilities Extension to two periods Arbitrage and Option Pricing (cont’d) Recombining binomial trees Binomial pricing with lognormal returns Multiperiod binomial put pricing Exploiting arbitrage American versus European option pricing European put pricing and time value Introduction . | © 2004 South-Western Publishing Chapter 5 Option Pricing Outline Introduction A brief history of options pricing Arbitrage and option pricing Intuition into Black-Scholes Introduction Option pricing developments are among the most important in the field of finance during the last 30 years The backbone of option pricing is the Black-Scholes model Introduction (cont’d) The Black-Scholes model: A Brief History of Options Pricing: The Early Work Charles Castelli wrote The Theory of Options in Stocks and Shares (1877) Explained the hedging and speculation aspects of options Louis Bachelier wrote Theorie de la Speculation (1900) The first research that sought to value derivative assets A Brief History of Options Pricing: The Middle Years Rebirth of option pricing in the 1950s and 1960s Paul Samuelson wrote Brownian Motion in the Stock Market (1955) Richard Kruizenga wrote Put and Call Options: A Theoretical and Market Analysis (1956) James Boness wrote A Theory .