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Cursus: 202000412
202000412
Option Pricing
Cursus informatie
Cursus202000412
Studiepunten (ECTS)2,5
CursustypeOnderwijseenheid
VoertaalEngels
Contactpersoondr. P.K. Mandal
E-mailp.k.mandal@utwente.nl
Docenten
Contactpersoon van de cursus
dr. P.K. Mandal
Docent
dr. P.K. Mandal
Docent
dr. B. Roorda
Examinator
dr. B. Roorda
Collegejaar2023
Aanvangsblok
1A
AanmeldingsprocedureZelf aanmelden via OSIRIS Student
Inschrijven via OSIRISJa
Cursusdoelen
  • After successfully finishing this course, the student is able to:
  • Explain various types of derivative products, in particular, European and American Call and Put Options;
  • Recognize and create new financial products by combining various standard financial/derivative products;  
  • Identify the influence of different economic factors on option prices;
Calculate the (numerical) price of an Option using a binomial tree (option-delta and risk-neutral method). 
Inhoud
This course is a part of Module “Finance for Engineers” (202000410). In this course, derivative products, such as options, and futures are introduced.  You will learn how they are used in financial decision-making. The focus of the course is the pricing/valuation of such derivative products, in particular different types of options.  The general techniques such as no-arbitrage pricing theory and risk-neutral pricing theory will be explained.  As applications of these, Binomial trees will be used in conjunction with the Option-delta method as well as discounted risk-neutral expectation to determine the price of European and American -- call and put -- options. Along the way, you will also learn the influence of different economic factors on option prices.
Assessment
Written exam (Option Pricing part of the combined test) (100%)
Voorkennis
Basics of statistics and probability, incl. expectation/mean, variance, correlation, standard deviation.
Participating study
Bachelor Technische Bedrijfskunde
Participating study
Bachelor Bedrijfsinformatietechnologie
Module
Module 5
Verplicht materiaal
Book
As for Accounting and Finance, two chapters on Option Pricing.
Book
Brealey Myers Allen, Principles of Corporate Finance (14e international edition) Recommend to buy in combination with Connect; Use of 13th edition still possible.
Aanbevolen materiaal
-
Werkvormen
Hoorcollege
AanwezigheidsplichtJa

Werkcollege
AanwezigheidsplichtJa

Toetsen
Test Option Pricing

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