What Does an Option Price Mean
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Date: 02-25-2009
Start Time:
6:45pm
End Time: 8:00pm
Speaker: Peter Carr, Bloomberg LP
Location: Park Avenue Plaza at 55 East 52nd Street
ABSTRACT
It is well known that the market price of a standard option reflects
the risk-neutral mean of its path-independent payoff. It is less well
known that this same option price also reflects the risk-neutral mean
of various path-dependent payoffs. We give several examples of such
payoffs which together suggest that option prices convey much more
information than one might initially expect.
BIO
Dr. Peter Carr has over twelve years of experience in the derivatives
industry. For the past 5 years, Dr. Carr has headed Quantitative
Financial Research at Bloomberg and the Masters in Mathematical
Finance program at NYU's Courant Institute. Prior to his current
positions, he headed equity derivative research groups at 2 major
banks and was a finance professor for 8 years at Cornell University.
Conducting research in the interface between academia and industry,
he has published extensively in both academic and industry-oriented
journals. He is currently the treasurer of the Bachelier Finance Society
and an associate editor for 8 journals related to mathematical finance.
He recently won the ISA Medal for Science for the CGMY model from the
University of Bologna. Previous awards are from Wilmott Magazine for
Cutting Edge Research and from Risk Magazine for "Quant of the Year."
*There will be a cocktail following the event.
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