Credits: 3 (3-0-0)
Description
Risk Neutral probability. Review of option pricing. Deterministic, local and stochastic volatility models. Pricing characteristic of European, American and other options. Introduction to Finite difference methods. Finite Difference methods for European option pricing. Finite Difference methods for Asian, American and Barrier type contracts. Introduction to Advanced Numerical Methods, Advanced Numerical methods for European, American and other contracts. Pricing under local and stochastic volatility in Black-Scholes markets.