Download or read book On Testing the Black scholes Option Pricing Model microform written by Chaudhury, Mohammed Mahtabuddin and published by National Library of Canada. This book was released on 1985 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Tests of the Black Scholes Option Pricing Model written by Boon Yong Chew and published by . This book was released on 1978 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Black Scholes and Beyond Option Pricing Models written by Neil Chriss and published by McGraw-Hill. This book was released on 1997 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.

Download or read book Empirical Testing of the Black Scholes Option Pricing Mode written by K. N. Lam and published by . This book was released on 1986 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Test of the Black Scholes Option Pricing Model written by Kenneth R. Netardus and published by . This book was released on 1990 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, the Black-Scholes Option Pricing Model was examined over a specific period of time, on a limited number of options, to determine if the market was using the Black-Scholes Model to prise those options. Data was collected and compiled onto five spreadsheets set up to compute the variables necessary for Black-Scholes computations. Past studies have shown that the Black-Scholes Model is fairly accurate in computing market prices. This study observes stock and option activity over the time period starting January 1, 1988, and ending January 1, 1989. This specific time period was chosen because the high market volatility experienced after the October, 1987, crash was expected to truly test the accuracy of the Black-Scholes Model. Through statistical analysis, it was found that in this limited study, the mean Black-Scholes computed price was consistently well above the mean market price for the options studied. Several factors could be responsible for the variations. Either the market did not use the Black-Scholes Option Pricing Model to price the options analyzed during the time period observed, or the limitations of this study were of a large enough degree to have significant adverse effects on the accuracy of the Black-Scholes Model.

Download or read book The Black Scholes Option Pricing Model and Assumptions written by Jonathan William Anderson and published by . This book was released on 2001 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Black Scholes Option Valuation Factor Table at 1 of Both Exercise Price and Stock Price written by Steve Shaw and published by Trafford Publishing. This book was released on 2002 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: BLACK-SCHOLES OPTIONS VALUATION FACTOR TABLE AT $1 OF BOTH EXERCISE PRICE AND STOCK OPTION" provides you with a simple classic way to use Nobel prized "Black-Scholes Option Pricing Model" in valuing stock options granted at the market price. The basic assumption is that the stock options are granted at the market price, which is true for most companies, although some companies do grant options at premium or discount to the market price at the date of grant. This book gives the Valuation Factors (per share Black-Scholes value) of option, assuming both exercise price and stock price are $1, at different combinations of estimated dividend yield, expected life of options, risk free interest rate, and estimated volatility. Determining the value of stock options with this book is similar to defining the present value of future payments by using a present value table at $1. Investors first find a Valuation Factor by matching their assumptions on risk-free interest rates (using Treasury STRIPS), estimated dividend yield, expected life of options and estimated volatility, and then multiply it by either the exercise price or the stock price followed by the number of shares. With this book, business professionals can easily prepare their FAS 123 pro-form disclosures on both their annual and interim reports as required by SEC.

Download or read book A Review of the Black Scholes Option Pricing Model written by Carolyn Kray Straiton and published by . This book was released on 199? with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Black Scholes Call Option Pricing Model and Tests of the Model written by Susumu Ueno and published by . This book was released on 2014 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims to examine the theory behind the Black-Scholes call option pricing model, which has been widely used by those who deal with options to search for situations where the market price of an option differs substantially from the fair value. The empirical test of the option pricing model conducted by Black-Scholes (1972) is also reviewed in this paper. Since the test was done prior to the listed trading and is the earliest one, it seems to be outdated. A number of later empirical tests of the Black-Scholes model have shown that the model is highly successful in explaining the observed market price of options. However, the investigation of the earliest test is very meaningful in itself.

Download or read book Review of Black Scholes Option Pricing Model and Its Extensions written by Wenli Sun and published by . This book was released on 1996 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Mathematical Modeling And Methods Of Option Pricing written by Lishang Jiang and published by World Scientific Publishing Company. This book was released on 2005-07-18 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.

Download or read book The Black Scholes Model written by Marek Capi Ski and published by . This book was released on 2014-05-14 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Black-Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing. The discussion of extended markets, the careful attention paid to the requirements for admissible trading strategies, the development of pricing formulae for many widely traded instruments and the additional complications offered by multi-stock models will appeal to a wide class of instructors. Students, practitioners and researchers alike will benefit from the book's rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls, gives clear motivation for results and techniques and includes carefully chosen examples and exercises, all of which make it suitable for self-study.

Download or read book The Black Scholes Option Pricing Model written by Huazhou Lin and published by . This book was released on 1999 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Robustness of the Black Scholes Option Pricing Model written by Michael Beenstock and published by . This book was released on 1982 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Black Scholes Option pricing Model for European Options and the Underlying Variables written by Stella Maria Sørensen and published by . This book was released on 2001 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On the Derivation and Solution of the Black Scholes Option Pricing Model written by D. Chappell and published by . This book was released on 1987 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Black Scholes Formula A Walkthrough written by Cornelius Kirsche and published by GRIN Verlag. This book was released on 2012-08-15 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2012 in the subject Business economics - Offline Marketing and Online Marketing, grade: 1,3, International University of Applied Sciences, course: Investment Analysis and Portfolio Management, language: English, abstract: This academic paper focuses on breaking down the magic of the Black-Scholes formula, which is used to value options. The author first introduces basic concepts like options, option strategies and the put-call parity to guide the reader through the underlying, basic concepts. To illustrate the use and the power of the Black-Scholes formula, two examples are calculated to better understand the complex steps involved in finding the call value. Finally, a failure case is presented, to show some pitfalls of this mathematical function.