[Probabilidad-Estadistica-Seminario] Seminario de Probabilidad y Estadística

[seminarios en cmat.edu.uy]

Seminario de Probabilidad y Estadística
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Título: "Pricing Quantos Options."

Expositor: Guillermo Magnou (Udelar)

Resumen:
 
The cornerstone of derivative pricing theory are the Black–Scholes-Merton
pricing model and the martingale pricing theory. Under this approaches, the risk
neutral valuation states that the price of a derivative is given by the
expectation of the discounted terminal payoff under the risk neutral measure. In
this opportunity we will determinate the Pricing Quanto Options. A “quanto” is a
type of derivative in which the underlying is denominated in one currency, but
the instrument itself is converted to domestic currency at a fixed exchange
rate.
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Viernes 8/11 a las 10:30, Salón de seminarios del piso 14, CMAT

Contacto: Alejandro Cholaquidis - acholaquidis en hotmail.com
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Más seminarios en: http://www.cmat.edu.uy/seminarios
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