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Black-Scholes and beyond: Option pricing models Ira Kawaller, Neil A. Chriss
Publisher: MGH

Mar 10, 2014 - Call options pricing formulas reflect this fact by reducing the premium for the option by the amount of the estimated dividend due to the fact that the owner of the call option would not be entitled to the dividend if it exercises the option. In Section 4, we describe some generalizations to the BS model, including time-dependent volatility, and we introduce the path-integral representation of BS-type equations, useful for our present development. And Black-Scholes doesn't work quite right; it doesn't describe the way volatility behaves. The math is based on a variation of the Black-Scholes model and is, frankly, beyond me but the core principle makes sense. The data necessary to calculate historical Since we can easily determine the magnitude of the intrinsic value and know the time to expiration, we can simply utilize one of several option pricing models, the best known is the Black-Scholes model, and determine the implied volatility. Documented option price anomalies (relative to the Black and Scholes (1973) model). Distribution of volatilities over similar contracts, beyond the act of their aggregation. Dec 20, 2011 - The way it is calculated is beyond the scope of this article, but suffice it to say that various statistical models exist to characterize this data. May 15, 2010 - alyzing the welfare implications of a listing fee increase is beyond the scope of the study, but perhaps an area for future research. Mar 12, 2012 - which is about models that go beyond Black-Scholes, that try to explain the nature of option pricing in equity derivatives. In Section 3, as an introduction to the mathematics of options pricing, we outline the Black-. Mar 30, 2014 - Black-Scholes and Beyond: Option Pricing Models List Price: $70.00 List Price: $70.00 Your Price: $58.89- An unprecedented book on option pricing!