FYI, even?though I didn?t use the iPad during class today, I?managed?to find the time?to cobble together (my best recollection of) the part of today?s lecture devoted to applying the delta hedging approach to pricing single period call and put options.? See ?Derivatives Theory (2 of 4) ? Lecture notes from the nineteenth day of class (November 1, 2012)?.
We also discussed the?analogy concerning how the equity of a limited liability corporation resembles a call option on the firm?s assets, with an exercise price equal to the face value of debt.? Applying the put-call parity equation, I showed how one?can?value ?risky??debt (i.e., debt that is subject to the risk of default) as the difference between the value of completely safe (default-free) debt?minus?the value of the option to default, which resembles a put option.
Source: http://risk.garven.com/2012/11/01/most-of-todays-lecture-now-online/
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