An Investigation Into the Use of the Black-Scholes Model for Pricing Long Term Options, for the Purpose of Costing Maturity Guarantees
Title | An Investigation Into the Use of the Black-Scholes Model for Pricing Long Term Options, for the Purpose of Costing Maturity Guarantees PDF eBook |
Author | Steven Gamerov |
Publisher | |
Pages | 248 |
Release | 1995* |
Genre | |
ISBN |
An investigation into the use of the Black-Scholes option pricing model to cost long term options
Title | An investigation into the use of the Black-Scholes option pricing model to cost long term options PDF eBook |
Author | Steven Gamerov |
Publisher | |
Pages | |
Release | 1995 |
Genre | |
ISBN |
An Investigation of the Impact of Stochastic Interest Rates on the Pricing of Equity Options
Title | An Investigation of the Impact of Stochastic Interest Rates on the Pricing of Equity Options PDF eBook |
Author | Peter Carayannopoulos |
Publisher | |
Pages | 26 |
Release | 1993 |
Genre | |
ISBN |
Option Prices as Probabilities
Title | Option Prices as Probabilities PDF eBook |
Author | Christophe Profeta |
Publisher | Springer Science & Business Media |
Pages | 282 |
Release | 2010-01-26 |
Genre | Mathematics |
ISBN | 3642103952 |
Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B ,t? 0; F ,t? 0, P) - t t note a standard Brownian motion with B = 0, (F ,t? 0) being its natural ?ltra- 0 t t tion. Let E := exp B? ,t? 0 denote the exponential martingale associated t t 2 to (B ,t? 0). This martingale, also called geometric Brownian motion, is a model t to describe the evolution of prices of a risky asset. Let, for every K? 0: + ? (t) :=E (K?E ) (0.1) K t and + C (t) :=E (E?K) (0.2) K t denote respectively the price of a European put, resp. of a European call, associated with this martingale. Let N be the cumulative distribution function of a reduced Gaussian variable: x 2 y 1 ? 2 ? N (x) := e dy. (0.3) 2? ?? The celebrated Black-Scholes formula gives an explicit expression of? (t) and K C (t) in terms ofN : K ? ? log(K) t log(K) t ? (t)= KN ? + ?N ? ? (0.4) K t 2 t 2 and ? ?
Black Scholes and Beyond: Option Pricing Models
Title | Black Scholes and Beyond: Option Pricing Models PDF eBook |
Author | Neil Chriss |
Publisher | McGraw-Hill |
Pages | 512 |
Release | 1997 |
Genre | Business & Economics |
ISBN |
An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.
Black-Scholes Formula: A Walkthrough
Title | Black-Scholes Formula: A Walkthrough PDF eBook |
Author | Cornelius Kirsche |
Publisher | GRIN Verlag |
Pages | 20 |
Release | 2012-08-15 |
Genre | Business & Economics |
ISBN | 3656257930 |
Essay from the year 2012 in the subject Business economics - Offline Marketing and Online Marketing, grade: 1,3, International University of Applied Sciences, course: Investment Analysis and Portfolio Management, language: English, abstract: This academic paper focuses on breaking down the magic of the Black-Scholes formula, which is used to value options. The author first introduces basic concepts like options, option strategies and the put-call parity to guide the reader through the underlying, basic concepts. To illustrate the use and the power of the Black-Scholes formula, two examples are calculated to better understand the complex steps involved in finding the call value. Finally, a failure case is presented, to show some pitfalls of this mathematical function.
Option Pricing
Title | Option Pricing PDF eBook |
Author | Menachem Brenner |
Publisher | Free Press |
Pages | 264 |
Release | 1983 |
Genre | Business & Economics |
ISBN |