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The dollar squeeze of the financial crisis
Bottazzi, Jean-Marc / Luque, Jaime / Pascoa, Mario R. / Sundaresan, Suresh
foreign exchangeResource overview

The dollar squeeze of the financial crisis

Paper2011

by Bottazzi, Jean-Marc, Luque, Jaime, Pascoa, Mario R., Sundaresan, Suresh

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foreign exchange

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

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  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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