**概要**

This eCourse consists of three modules. Module 1 shows the situations in which American options should be held to expiration or, in the case of an option on an income-yielding underlying asset, exercised early to capture dividend or interest income.

Module 2 looks at how the binomial technique is used to price derivatives such as American options where an equation such as Black-Scholes cannot be applied.

Module 3 looks at how Monte Carlo methods are used to price path dependent options, such as Asian options, barrier options, and lookback options, where a closed-form model such as Black-Scholes cannot be applied.

**宗旨**

On completion of this course, you will be able to:

- Recognize how American options can be exercised any time before expiration

- Recall how time value may be lost if American options are exercised early

- Identify the circumstances in which it may be optimal to exercise an American option early

- Recognize how the binomial tree is built using up/down prices and risk-neutral probabilities

- Recall how to value an option by working backward through the binomial tree and adjusting nodes where necessary until the current option value is reached

- Recognize how Monte Carlo methods allow analysts to price a range of different options by randomly generating paths of future stock prices

- Identify the key stages in performing a Monte Carlo simulation

- Recognize the main types of path dependent option that can be priced using Monte Carlo methods

**內容**

Module 1: Option Valuation – American Options

Topic 1: Overview of American Options

Topic 2: Exercising an American Option

Module 2: Option Valuation – Binomial Techniques

Topic 1: Binomial Option Pricing

Topic 2: Building a Binomial Tree & Pricing an Option

Module 3: Option Valuation – Monte Carlo Methods

Topic 1: Overview of Monte Carlo Methods

Topic 2: Monte Carlo Process

Topic 3: Pricing Path Dependent Options

**詳情**

**HKD620**

非會員:

**HKD940**

機構會員員工:

**HKD620**