Summary

Financial markets are no longer places where securities, commodities or bonds are traded, but more exotic financial products as for instance financial derivatives are already traded in large numbers. A problem of great importance for the financial industry is the question of pricing those financial derivatives and in particular the problem of pricing options contracts using the Black-Scholes model.

The goal for the participants of this project is to correctly formulate the problem of option pricing in the Black-Scholes model, obtain the pricing formulas for various types of options and implement those formulas using the R-software.

Mathematical background 

Probability and Statistics

Stochastic Calculus

Researcher coordinators

Pedro Mota and Marta Faias