Finance Theory — 12.2: Risk-Neutral Option Pricing
Автор: Ludium
Загружено: 2026-02-17
Просмотров: 30
Описание:
Two traders disagree on whether a stock will go up or down — yet they arrive at the exact same option price. This video builds a one-period binomial model from scratch to show why real-world probabilities cancel out of option pricing entirely, and how replication and no-arbitrage arguments replace forecasting with financial engineering.
Key concepts covered:
• Binomial option pricing model with a concrete numerical example (S₀ = $20, strike = $15)
• Replicating portfolios: matching option payoffs with stock and bonds
• Why the real-world probability p never enters the pricing formula
• Risk-neutral probabilities (θ) as a mathematical pricing tool, not a market belief
• The equilibrium condition d ‹ r ‹ u and why both assets must coexist
• Arbitrage enforcement: how mispricing creates riskless profit opportunities
• The conceptual bridge from binomial trees to Black-Scholes
ORIGINAL SOURCE
This video is based on content from the following source:
• Ses 12: Options III & Risk and Return I
All credit for the original educational content belongs to the original creator.
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