EVENTO

SEMINARIO

An introduction to option pricing

Ariel Aldo Giovanni Lanza

Corso di Laurea Magistrale in Matematica

Abstract
Financial options are contracts that grant the right, but not the obligation to buy or sell an underlying asset at a set price on or before a certain date. The “right” price at which an option should be sold is a major topic in financial mathematics. In this seminar the problem is faced from several points of view strarting from simple discrete models and ending with the Black–Scholes model. An eye is always kept on the implementation of the algorithms for pricing, ranging from Monte Carlo to exact solutions.