Simple Formulas to Option Pricing and Hedging in the Black- Scholes Model
Download full text from publisher
References listed on IDEAS
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Michael R. Tehranchi, 2015. "Uniform bounds for Black--Scholes implied volatility," Papers 1512.06812, arXiv.org, revised Aug 2016.
- repec:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500480 is not listed on IDEAS
- Dan Stefanica & Radoš Radoičić, 2016. "A sharp approximation for ATM-forward option prices and implied volatilites," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-24, March.
More about this item
KeywordsOption pricing; hedging; Taylor; Polya and logistic approximations;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0511005. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA). General contact details of provider: http://econwpa.repec.org .