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

Jun 3, 2011 - Using the S&P500 as a proxy, and setting the January 1, 2007 stock price at $100/share, Tom's share price at the beginning of each year is as follows: 2008 — $102; 2009 – $66; 2010 — $ 80; and 2011 — $90. With today's options commonly issued with a lifespan of 10 years, this time value can be significant. And an option's “fair value” can easily be calculated now using widely available option-pricing models like Black-Scholes. Call options give a holder an option to buy at . 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]. Let's take a look at options strategies that go beyond a day. 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). The Black-Scholes model is used to calculate a theoretical call price (ignoring dividends paid during the life of the option) using the five key determinants of an option's price: stock price, strike price, volatility, time to expiration, and short-term (risk free) interest rate. 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. Apr 17, 2012 - The book Black-Sholes and beyond is viewed as the best book for option pricing models, written by Neil A. Mar 21, 2014 - Usually writers speculate that the price will not go beyond the strike and holders speculate that it will go beyond strike). May 30, 2012 - But once shares broke $30, and then $29 shortly after, implied volatility quickly spiked towards the 65% (on the y-axis, if you're using a Black-Scholes option pricing model) and above 75% in the June out-of the-money puts. [Editor's So it looks like Facebook will become a favored playground for active traders, which will be good for liquidity.