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
ISBN: 0786310251, 9780786310258
Publisher: MGH
Page: 0
Format: chm


The price of the underlying security least a 6% price move to break even. Feb 24, 2011 - 2) Calculate asset volatility: The volatility of Borders' stock returns for the past year is calculated in order to compute estimates for implied asset volatility, using the Black-Scholes option pricing model (using total assets and liabilities numbers as well). Then Black-Scholes came out and traders started using the Black-Scholes (BS) formula and it worked pretty well, . The most commonly used apparatus for valuing options is the Black-Scholes model, which considers five factors in calculating a particular option's theoretical fair value: 1. A long long time ago, before Black Monday in 1987, people didn't know how to price options. Mar 22, 2012 - To make the equation more correct and include the dividend, in 1973 Merton had introduce the Black-Scholes extended model, which also involve the dividend to compute the option price (Bahaguna, 2000). Black Scholes and Beyond: Option Pricing Models, N A Chriss B. Derivative Securities, R Jarrow, S Turnbull C. Question on an option trader's mind: Is this option "cheap" or "expensive"? 3) Estimate the size of the tail That was very interesting and well beyond my skill level so thanks to you and Prof Lawless for arranging this contribution. May 15, 2007 - 0.0 First steps -- General: A. (Note: This is not 7% because the options would still retain some time value.