2019 - 2020 General Catalogue 
    
    Mar 29, 2024  
2019 - 2020 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:  .