ECON 252: Financial Markets
Lecture 17 - Options Markets. After introducing the core terms and main ideas of options in the beginning of the lecture, Professor Shiller emphasizes two purposes of options, a theoretical and a behavioral purpose. Subsequently, he provides a graphical representation for the value of a call and a put option, and, in this context, addresses the put-call parity for European options. Within the framework of the Binomial Asset Pricing model, he derives the value of a call-option from the no-arbitrage-principle, and, as a continuous-time analogue to this formula, he presents the Black-Scholes Option Pricing formula. He contrasts implied volatility, as represented by the VIX index of the Chicago Board Options Exchange, which uses a different formula in the spirit of Black-Scholes, with the actual S&P Composite volatility from 1986 until 2010. Professor Shiller concludes the lecture with some thoughts about options on single-family homes that he launched with his colleagues of the Chicago Mercantile Exchange in 2006. (from oyc.yale.edu)
| Lecture 17 - Options Markets |
| Time | Lecture Chapters |
| [00:00:00] | 1. Examples of Options Markets and Core Terms |
| [00:07:11] | 2. Purposes of Option Contracts |
| [00:17:11] | 3. Quoted Prices of Options and the Role of Derivatives Markets |
| [00:24:54] | 4. Call and Put Options and the Put-Call Parity |
| [00:34:56] | 5. Boundaries on the Price of a Call Option |
| [00:39:07] | 6. Pricing Options with the Binomial Asset Pricing Model |
| [00:51:02] | 7. The Black-Scholes Option Pricing Formula |
| [00:55:49] | 8. Implied Volatility - The VIX Index in Comparison to Actual Market Volatility |
| [01:09:33] | 9. The Potential for Options in the Housing Market |
| References |
| Lecture 17 - Options Markets Instructor: Professor Robert J. Shiller. Resources: Lecture Slides [PDF]; Multiple-Choice Quiz [PDF]; Problem Set 6 [PDF]. Transcript [html]. Audio [mp3]. Download Video [mov]. |
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