Black-Scholes and beyond: Option pricing models book
Par sims john le mercredi, janvier 27 2016, 00:06 - Lien permanent
Black-Scholes and beyond: Option pricing models by Ira Kawaller, Neil A. Chriss
Black-Scholes and beyond: Option pricing models Ira Kawaller, Neil A. Chriss ebook
Publisher: MGH
ISBN: 0786310251, 9780786310258
Page: 0
Format: chm
And Black-Scholes doesn't work quite right; it doesn't describe the way volatility behaves. Jun 6, 2012 - That's where the option valuation models come in. Mar 12, 2012 - which is about models that go beyond Black-Scholes, that try to explain the nature of option pricing in equity derivatives. Hence the steady decline in Delta as the strike price moves beyond the current spot price. The calculation is beyond the scope of this book; however, it is designed to take into account the elements of time value, stock price variation, an assumed market rate of interest, and time remaining until expiration. The fifth and The third and the most relevant definition to our discussion comes from the option replicating and hedging portfolio example from the Black Scholes world. That is exactly what that remaining 5% (or 1%) represent. Apr 5, 2013 - The Black-Scholes model is named for Fischer Black and Myron Scholes, who together published a scholarly paper in 1973 explaining their theory. Sep 1, 2012 - The first four sensitivities measure a change in the value of the option price based on a change in one of the determinants of option prices – spot price, volatility, interest rates and time to maturity. Jan 16, 2009 - A black swan refers to a large-impact, hard-to-predict, and rare event beyond the realm of normal expectations. Apr 17, 2012 - The book Black-Sholes and beyond is viewed as the best book for option pricing models, written by Neil A. The chances are slim The Black and Scholes model is very powerful for option pricing and provides very interesting data on the impact of time, base asset price movements and standard deviation on the price of options.
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