Seminars & Colloquia Calendar

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Special Colloquium

No-Arbitage Option Pricing through Risk-Neutral Measures

Peter Caithamer

Location:  Hill 705
Date & time: Friday, 15 February 2019 at 1:30PM - 2:30PM

Abstract: As a step toward multi-period trees and, eventually, stochastic differential equations, this talk will develop the no-arbitrage price of a derivative security using a one-period binomial tree model. The price will be shown to be an expectation, under the measure making the underlying security’s discounted price process a martingale, of the discounted value of the portfolio replicating the derivative’s payoff. If time permits, multi-period trees and American options will be discussed.

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