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

Black-Scholes and beyond: Option pricing models



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Black-Scholes and beyond: Option pricing models Ira Kawaller, Neil A. Chriss ebook
Page: 0
ISBN: 0786310251, 9780786310258
Publisher: MGH
Format: chm


And an option's “fair value” can easily be calculated now using widely available option-pricing models like Black-Scholes. 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]. With today's options commonly issued with a lifespan of 10 years, this time value can be significant. The methodology draws peers Stock options or stock appreciation rights (SARs) will be re valued using the remaining term and updated assumptions, as of the performance period, using the Black-Scholes Option Pricing model. Feb 18, 2013 - Black-Scholes and beyond: Option pricing models Ira Kawaller, Neil A. Aug 31, 2013 - The longer the lifespan, the more time during which the underlying stock's price could appreciate beyond the exercise price, and the more valuable the option becomes. An unprecedented book on option pricing! Chriss Language: English Page: 0. 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). Oct 2, 2009 - The may contain complex economic thinking but are often computationally very simple – the Black-Scholes-Merton model of options pricing is a simple differential equation, a version of the heat or diffusion equation in physics. ISBN: 0786310251, 9780786310258. Oct 20, 2012 - In covered call writing, our option premiums are influenced by the volatility of the underlying security. Nov 16, 2012 - The new methodology incorporates information from companies' self-selected pay benchmarking peer groups in order to identify and prioritize GICS industry groups beyond the subject company's own GICS classification.