Black-Scholes Formula: A Walkthrough
| Autor: | Cornelius Kirsche |
|---|---|
| EAN: | 9783656257936 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 15.08.2012 |
| Kategorie: | |
| Schlagworte: | Black Black-Scholes Merton Option pricing Options Option valuation Put-Call Put-call parity Scholes long term capital management nobel price option strategies |
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Essay from the year 2012 in the subject Business economics - Offline Marketing and Online Marketing, grade: 1,3, International University of Applied Sciences Bad Honnef - Bonn, 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.
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