CFA Level 2 | Derivatives: Valuing an American Call Option (Binomial Option Pricing Model)

  Рет қаралды 9,825

Fabian Moa, CFA, FRM, CTP, FMVA

Fabian Moa, CFA, FRM, CTP, FMVA

Күн бұрын

Пікірлер: 23
@andrewgirouard6378
@andrewgirouard6378 6 ай бұрын
Taking level 2 today not going to lie for derivatives, fixed income, and complex equity formulas your videos have been the clearest and most effective explanations. These are very helpful I appreciate the videos.
@FabianMoa
@FabianMoa 6 ай бұрын
Hi Andrew, my comment came a bit late but I hope it went smoothly for your exam. Thank you for the feedback! That keeps me going.
@yyman9100
@yyman9100 3 жыл бұрын
Very clear explanation! Good for a quick recap and strengthen understanding after going through the syllabus. Thanks Fabian!
@sudarshanch3328
@sudarshanch3328 4 жыл бұрын
Very good explanation quick review of concept in short time. Thanks Fabian!
@FabianMoa
@FabianMoa 4 жыл бұрын
Glad it was helpful!
@terrrus
@terrrus Жыл бұрын
For short puts or long calls, h is in the denominator. i.e. for -10000p hedge would be 10000/h , where 10000 is position size
@thomaskline6823
@thomaskline6823 3 жыл бұрын
You are a legend ! 👏🏻👏🏻👏🏻👏🏻
@FabianMoa
@FabianMoa 3 жыл бұрын
Thanks!
@kangtoby
@kangtoby 3 жыл бұрын
you are my man
@ArunKumar-yb2jn
@ArunKumar-yb2jn 4 жыл бұрын
Well explained
@priyankamalhotra3409
@priyankamalhotra3409 3 жыл бұрын
well explained
@Soren9w
@Soren9w 4 ай бұрын
In Australian, we study: S0 -> Su -> Su' -> Suu -> Suu' Sud -> Sud' -> Sd -> Sd' -> Sdu -> Sdu' Sdd -> Sdd' Su = S0 x u; Su' = Su - Div1; Suu = Su' x u; Suu' = Suu - Div2 Sud = Su' x d; Sud' = Sud - Div2 Sd = S0 x d; Sd' = Sd - Div1; Sdu = Sd' x d; Sdu' = Sdu - Div2 Sdd = Sd' x d; Sdd' = Sdd - Div2 Not discount anything to Div0 (the present value of dividend). It moves at each period having dividends, that dividend will be deducted from the price of that step after dividend paying.
@travelwithruo4875
@travelwithruo4875 3 жыл бұрын
Why is the $2.60 dividend only added to the call value in period 1 under early exercise of the American call and not under the European call?
@andreyi3707
@andreyi3707 4 жыл бұрын
thanks a lot!
@FabianMoa
@FabianMoa 4 жыл бұрын
You're welcome, Andrey!
@beomkomap
@beomkomap 2 жыл бұрын
Hi Sir. Nice video. Your hard work is deeply appreciated. By the way, may I know when you say "Exercise early", does it mean we take dividends first before exercising the call option? THanks
@FabianMoa
@FabianMoa 2 жыл бұрын
You exercise the call option and buy the stock, and receive the dividend
@priyankamalhotra3409
@priyankamalhotra3409 3 жыл бұрын
if had this been a put option, would we still subtract the present value of dividend from the starting stock price?
@FabianMoa
@FabianMoa 3 жыл бұрын
Yes, you would have to do the same but I suspect that if it was a question on American put, they would say that the stock is non-dividend paying
@priyankamalhotra3409
@priyankamalhotra3409 3 жыл бұрын
@@FabianMoa thanks so much! very helpful!
@jonahlevy3341
@jonahlevy3341 3 жыл бұрын
boss man ting
@travelwithruo4875
@travelwithruo4875 3 жыл бұрын
Why is the 2.60 dividend only added to the call value under early exercise of the Am call and not under the Eu call?
@FabianMoa
@FabianMoa 3 жыл бұрын
Because you will receive the dividend only if the option is exercised in that period
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