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| STAT 47301 - Introduction To Arbitrage-Free Pricing Of Financial Derivatives |
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Associated Term:
Spring 2020
Learning Outcomes: 1. Use arbitrage-free option pricing in the binomial market model and the Black-Scholes model. 2. Adapt the binomial setting to computing exotic and path-dependent option prices, including the determination of optimal exercise. 3. Follow marking-to-market strategies for approximate discrete delta hedging. Required Materials: Technical Requirements: |
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