MA 670

The course introduces various continuous-time financial models and covers advanced option pricing. It develops the mathematical framework for option pricing in continuous time for equity derivatives. The Black-Scholes theory for pricing and hedging European and American options under geometric Brownian motions strategies is discussed. The course covers pricing power, multi-stage, basket (multi-asset), and foreign exchange options. The more advanced topics may 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>