Τιμολόγηση παραγώγων χρηματοοικονομικών προϊόντων
Μπάφας, Παναγιώτης Τ.
Financial derivatives are tools used for stabilizing, smoothing and reducing the risks of the financial deals (credit squeeze-hedging). The purpose of this essay is to provide an account of the most prominent financial derivative products and to present the two main pricing models: a) the Binomial model used for pricing in discrete time and b) the Black and Scholes model, used for pricing in continuous time. Specifically, this essay will focus on the study of the behavior of the Black and Scholes model, which constitutes the most usual model for the modeling of an option. Moreover, the Binomial model will be applied for the pricing of a financial derivative product based on virtual data as well as for the pricing of a derivative using the Black and Scholes model based on actual data concerning the stock of the National Bank of Greece. At the same time the corresponding delta hedging strategies will be presented.