In an earlier blog posting titled “This week, Finance 4366 will proceed asynchronously!”, I referenced the status for Thursday’s video lecture as “TBA”; i.e., to be announced. So, here’s the announcement I promised:
Thursday, March 14 (due Friday, March 15 by 5 pm): Watch and turn in a synopsis of the video lecture titled “CRR to BSM, American Options Part 1”. This lecture completes coverage of the Binomial Trees (particularly, how the discrete-time Cox-Ross-Rubinstein (CRR) binomial option pricing model converges to the continuous-time Black-Scholes-Merton (BSM) option pricing model. It also provides the first installment of our coverage of American options, based on the lecture note titled Early Exercise of American Call and Put Options on Non-Dividend Paying Stocks.