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 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 |
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.
Test of the Black-Scholes Option Pricing Model
Title | Test of the Black-Scholes Option Pricing Model PDF eBook |
Author | Kenneth R. Netardus |
Publisher | |
Pages | 90 |
Release | 1990 |
Genre | Options (Finance) |
ISBN |
In this study, the Black-Scholes Option Pricing Model was examined over a specific period of time, on a limited number of options, to determine if the market was using the Black-Scholes Model to prise those options. Data was collected and compiled onto five spreadsheets set up to compute the variables necessary for Black-Scholes computations. Past studies have shown that the Black-Scholes Model is fairly accurate in computing market prices. This study observes stock and option activity over the time period starting January 1, 1988, and ending January 1, 1989. This specific time period was chosen because the high market volatility experienced after the October, 1987, crash was expected to truly test the accuracy of the Black-Scholes Model. Through statistical analysis, it was found that in this limited study, the mean Black-Scholes computed price was consistently well above the mean market price for the options studied. Several factors could be responsible for the variations. Either the market did not use the Black-Scholes Option Pricing Model to price the options analyzed during the time period observed, or the limitations of this study were of a large enough degree to have significant adverse effects on the accuracy of the Black-Scholes Model.
ACCA Paper P4 - Advanced Financial Management Study Text
Title | ACCA Paper P4 - Advanced Financial Management Study Text PDF eBook |
Author | BPP Learning Media |
Publisher | BPP Learning Media |
Pages | 665 |
Release | 2009-07-01 |
Genre | Business & Economics |
ISBN | 0751776009 |
The Association of Chartered Certified Accountants (ACCA) is the global body for professional accountants. With over 100 years of providing world-class accounting and finance qualifications, the ACCA has significantly raised its international profile in recent years and now supports a BSc (Hons) in Applied Accounting and an MBA.BPP Learning Media is an ACCA Official Publisher. The new ACCA syllabus for paper P4 is about the practical application of financial theory to problems that managers face, such as investment appraisal, funding policies, risk management, growth, organic or through mergers and acquisitions and dividend policy. The paper also covers crucial issues such as corporate governance and ethical and environmental aspects of financial policy.The BPP text provides a comprehensive treatment of the new ACCA syllabus for P4 and addresses all learning outcomes and the higher skills to be assessed in the professional examination in an integrated and practical way. The material, despite the technical nature of certain areas, follows a practical, common sense approach with plenty of case studies and real life business examples. The key points of each topic are summarised in a chapter roundup and tested in a diagnostic quiz at the end of each chapter. A question bank at the end of the book provides practice on exam style questions.BPP Learning Media is the publisher of choice for many ACCA students and tuition providers worldwide. Join them and plug into a world of expertise in ACCA exams.
ACCA P4 - Advanced Financial Management - Study Text 2013
Title | ACCA P4 - Advanced Financial Management - Study Text 2013 PDF eBook |
Author | BPP Learning Media |
Publisher | BPP Learning Media |
Pages | 690 |
Release | 2011-12-15 |
Genre | Business & Economics |
ISBN | 144539216X |
The BPP Study Text provides a comprehensive treatment of the updated ACCA syllabus for P4. It addresses all learning outcomes and the higher skills required in an integrated and practical way. The material, despite the technical nature of certain areas, follows a practical, common sense approach with plenty of case studies and real life business examples. The key points of each topic are summarised in a chapter roundup and tested in a diagnostic quiz at the end of each chapter. A question bank at the end of the book provides practice on exam style questions.
Black-Scholes Option Valuation Factor Table at $1 of Both Exercise Price and Stock Price
Title | Black-Scholes Option Valuation Factor Table at $1 of Both Exercise Price and Stock Price PDF eBook |
Author | Steve Shaw |
Publisher | Trafford Publishing |
Pages | 182 |
Release | 2002 |
Genre | Business & Economics |
ISBN | 1553698576 |
BLACK-SCHOLES OPTIONS VALUATION FACTOR TABLE AT $1 OF BOTH EXERCISE PRICE AND STOCK OPTION" provides you with a simple classic way to use Nobel prized "Black-Scholes Option Pricing Model" in valuing stock options granted at the market price. The basic assumption is that the stock options are granted at the market price, which is true for most companies, although some companies do grant options at premium or discount to the market price at the date of grant. This book gives the Valuation Factors (per share Black-Scholes value) of option, assuming both exercise price and stock price are $1, at different combinations of estimated dividend yield, expected life of options, risk free interest rate, and estimated volatility. Determining the value of stock options with this book is similar to defining the present value of future payments by using a present value table at $1. Investors first find a Valuation Factor by matching their assumptions on risk-free interest rates (using Treasury STRIPS), estimated dividend yield, expected life of options and estimated volatility, and then multiply it by either the exercise price or the stock price followed by the number of shares. With this book, business professionals can easily prepare their FAS 123 pro-form disclosures on both their annual and interim reports as required by SEC.