2017 - 2018 General Catalogue 
    Dec 06, 2021  
2017 - 2018 General Catalogue [ARCHIVED CATALOG]

MH 444. Actuarial Risk Theory (3)

Put-call parity, the binomial model, the Black-Scholes option-pricing model, option Greeks, the properties of a lognormal distribution and the Black-Scholes formula as an expected value for a lognormal distribution, risk management using the method of delta-hedging, and simulation of lognormal stock prices. Prerequisites:  .