MA 470

The course introduces various continuous-time financial models and covers advanced option pricing. The Black-Scholes theory for European option strategies, power options, multi-stage options, basket options, and foreign exchange options is discussed. The course topics include stopping time, first-passage time distribution, the Merton and Black–Cox credit- risk models, stochastic volatility and jump-diffusion models, and pricing exotic and path-dependent options. <br> <br><font color="crimson">