Option pricing with transaction costs (Excel)

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Today we are investigating an extension of Black-Scholes option pricing model that relaxes the assumption of no transaction costs which has been developed by Leland (1985). We are going to discuss the mathematical and financial concepts behind the Leland (1985) model, its Excel implementation as well as its implications for option trading.
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Опубликовано:

3 окт 2024

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Комментарии : 5

@NEDLeducation Год назад

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

@amitkumarsingh4489 Год назад

sava excellent video . do you have the file in the linked drive ? i couldn't find it

@lilicho9296 Год назад

Why can't we have professors like you at LMU. Doing an exchange semester and today was my first day. Lectures horrible. I'm suffering😭

@Aaronwilliam Год назад

Great video! If you are looking for ideas, more option related tutorials would be welcome. Cheers

@jonasrapsikevicius2682 Год назад

if a bank grants a loan with 2 % margin + variable euribor12M, repricing once in a year, and bank makes additional condition on if euribor below zero, variable part automatically set as zero, would you consider this as an market option keeping in mind that the bank will have the loan till it is fully covered (some consider this as an market option, I consider that the loan with such condition creates additional interest then euribor is below zero in comparison to the loan which does not have zero limit for euribor - therefore loan of such type has more economic value, but in times of positive euribor the difference would be zero), what would be your view in this case?