Black-Scholes and beyond: Option pricing models

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

Jan 31, 2014 - The Black-Scholes formula for valuing stock options, which I helped develop back in the 1970s, attempts to establish the extent to which measurable or observable external factors – specifically, the price of the underlying asset, the volatility of that price, A growing arsenal of option models has emerged that extend the same underlying methodology beyond the basic formula, incorporating more variables and more-robust assumptions for specialised applications. Mar 15, 2011 - 0.0 First steps -- General: A. Scholes won for their work in developing a method for valuing derivatives, including working with Fischer Black in creating the Black-Scholes option pricing model. In 2002, Daniel Kahneman and Vernon L. Derivative Securities, R Jarrow, S Turnbull C. Jul 20, 2010 - First, he showed a compound interest model over time, with no uncertainty; then, he introduced the role of risk, with a stock pricing model; and finally, he based an option valuation off that stock model. And while real estate investment trusts date back more In 1997, Robert C. In Section 3, as an introduction to the mathematics of options pricing, we outline the Black-. Black Scholes and Beyond: Option Pricing Models, N A Chriss B. 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. Oct 14, 2013 - Investors have moved beyond straight equity real estate investing to include timber, farmland and, most recently, infrastructure in their real asset portfolios. As Deshmukh illustrated his “But after we run this simulation we can draw a picture” — he quickly plots both the simulations and the Black-Scholes model onto a scatter graph — “and we can see that the lines lie on top of each other. Distribution of volatilities over similar contracts, beyond the act of their aggregation.