School of Mathematical Sciences

Deriving a Black-Scholes price of European Call Option via a Binomial Tree menu

Deriving a Black-Scholes price of European Call Option via a Binomial Tree

Speaker: 
Amirlan Seksenbayev
Date/Time: 
Tue, 31/10/2017 - 17:00
Room: 
E304

Financial mathematics is the spookiest kind of mathematics you could wish for on Halloween, but can it become less spooky? Solving a famous Black-Scholes PDE usually involves a numerous applications of Ito's Lemma, Feynman-Kac result, and, if all that fails, a numerical simulation. However, we will look at the way of pricing one of the simplest and most frequently traded financial derivative instruments with the help of the all-time favourite - the binomial tree.