Black-Scholes and beyond: Option pricing models. Ira Kawaller, Neil A. Chriss

Black-Scholes and beyond: Option pricing models

ISBN: 0786310251,9780786310258 | 0 pages | 2 Mb

Black-Scholes and beyond: Option pricing models Ira Kawaller, Neil A. Chriss
Publisher: MGH

A long long time ago, before Black Monday in 1987, people didn't know how to price options. Aug 30, 2010 - Options trading requires the pricing of options on underlying assets in order to create futures contracts, locking a 'strike price' – in what is known as put-call parity – to be realized at a later date (i.e maturity). Then Black-Scholes came out and traders started using the Black-Scholes (BS) formula and it worked pretty well, . Jules Says We are a bit like a drug addict that no longer has the imagination or willpower to see beyond the next fix. I found this great resource the other day, explaining the equation at a very high level: A Beginner's Guide To The Black-Scholes Option Pricing Formula. The Black Swan event refers to the catastrophic failure in 1987 of the Black-Scholes-Merton model for deriving future prices from underlying assets and ultimately attempts to replicate risk-free portfolios by damping stochastic turbulence [BS, p.3]. Jul 4, 2011 - Black-Scholes option pricing model ,but I am quite sure that they will rightly smell a trap,which it is. The Black-Scholes option pricing model has been one of the most influential formulas in finance since its initial publication in 1973. Jul 1, 2002 - Although the two pricing models appear to be very different, mathematicians have proven their equivalency through calculations. Jul 30, 2013 - The Black-Scholes model was first published in a 1973 paper titled “The Pricing of Options and Corporate Liabilities”. Why is it the holy grail of finance equations? In 1997, Myron Scholes and Robert Merton Development of the mathematics behind the formula is beyond the scope of this reference manual.