Search results
Option pricing theory has made vast strides since 1972, when Black and Scholes published their path-breaking paper providing a model for valuing dividend-protected European options.
1 sty 1976 · This article reviews the history of the emergence and advancement of option pricing in terms of a thorough classification of the widely used option pricing models and their empirical...
Option Pricing Theory and Applications. Aswath Damodaran. What is an option? lAn option provides the holder with the right to buy or sell a specified quantity of an underlying asset at a fixed price (called a strike price or an exercise price) at or before the expiration date of the option.
In this article we will present a simple discrete-time option pricing formula. The fundamental economic principles of option valuation by arbitrage methods are particularly clear in this setting. Sections 2 and 3 illustrate and develop this model for a call option on a stock that pays no dividends.
BASICS OF OPTION PRICING. An option provides the holder with the right to buy or sell a specified quantity of an underlying asset at a fixed price (called a strike price or an exercise price) at or be-fore the expiration date of the option.
Black-Scholes option pricing model deriving a formula depending on only five directly observable variables, the stock's price ( S), the exercise price (X), the time to maturity ( r ), the risk-free rate of interest ( r ), and the variance of changes
This article primarily reviews empirical research into models used to price stock index options. Sections 1-4 discuss estimates of systematic stochastic volatility and jump risks underlying stock market evolution from time series analysis, from option prices, and from how option prices evolve.
