Risk Pricing · 12. novembre 2023
The Merton model, essential in credit risk analysis, views a company's equity as a call option on its assets, crucial for default probability assessment. Using the Black-Scholes formula, it combines equity with zero-coupon debt for valuation. Despite its innovativeness, the model's reliance on market data and idealistic market assumptions limit its applicability. This has spurred alternative approaches like reduced form models, addressing these shortcomings in credit risk evaluation.
Stochastic Models and Processes · 08. septembre 2023
Unpack the myth that option Delta equals the probability of expiring in-the-money. Dive into risk-neutral valuation and the Black-Scholes model, where assets grow at a risk-free rate, making Delta an unreliable real-world probability indicator. Explore the distinction for smarter option trading. #OptionTrading #BlackScholes #RiskNeutralValuation
08. juillet 2023
The Black-Scholes partial differential equation in layman’s terms…
#OptionPricing, #BlackScholes, #FinancialModeling, #QuantitativeFinance, #RiskNeutralMeasure
Processus et Modèles Stochastiques · 11. février 2023
Unlock the Black-Scholes PDE with our easy step-by-step guide! Perfect for new quants or those needing a refresher. Dive into options pricing effortlessly! 🌟📈 Check the link to begin! #QuantitativeFinance #OptionsPricing