interest-rate-drift

  1. Nicole Seaman

    P2.T5.23.1. Risk-neutral interest rate term structure

    Learning objectives: Calculate the expected discounted value of a zero-coupon security using a binomial tree. Construct and apply an arbitrage argument to price a call option on a zero-coupon security using replicating portfolios. Define risk-neutral pricing and apply it to option pricing...
    • Nicole Seaman
    • Thread
    • arbitrage-argument binomial-tree interest-rate-drift interest-rate-term-structure option-pricing risk-neutral-pricing
    • Replies: 0
    • Forum: FRM® Practice Questions
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