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In the valuation profession, the Black-Scholes option pricing model (BSOPM) is one of the most often used, yet least understood, valuation models. In this session, Gary Schurman will derive the BSOPM equation in an intuitive, albeit unconventional, way. Gain confidence in finding and eliminating arbitrage, understanding risk-neutral probabilities, and working in continuous or discrete time. Attend for advanced and technical training on one of valuation’s most popular models.
Program Agenda
Finding and eliminating the arbitrage
Risk-neutral probabilities
Option pricing in discrete-time
Option pricing in continuous-time
Derive the BSOPM equation
Learning Objectives
Describe redundant assets
Demonstrate inverting a matrix
Model option pricing using the Bernoulli distribution
Model option pricing using the binomial distribution
Model option pricing using the normal distribution
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