Options
An introduction to option pricing theory and risk management in the discrete-time, bi-nomial tree model, and the continuous time Black-Scholes-Merton framework. Both the partial differential equations approach and the martingale approach (risk-neutral pricing by expected values) will be developed. The course will cover the basics of Stochastic, Ito Calculus. Since 2015, the course is offered in the flipped format: the students are required to watch lectures online, while problem solving and case and paper presentations are done in class.
Please Note
The online version of the Caltech Catalog is provided as a convenience; however, the printed version is the only authoritative source of information about course offerings, option requirements, graduation requirements, and other important topics.