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    Note 7 Dec 2022

    Uploaded by

    Ron Kurtzbard
    This document discusses pricing options in a Black-Scholes world and discusses key concepts like: 1) The Black-Scholes formula for pricing European call and put options in terms of the underlying asset price, strike price, risk-free rate, time to maturity, and volatility. 2) The Greeks - how the option price is affected by changes in underlying parameters like delta, gamma, vega, and theta. 3) Pricing and hedging of digital options and how their payoff depends on whether the underlying asset price ends above or below the strike price at expiration.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    Note 7 Dec 2022

    Uploaded by

    Ron Kurtzbard
    6 views7 pages
    This document discusses pricing options in a Black-Scholes world and discusses key concepts like: 1) The Black-Scholes formula for pricing European call and put options in terms of the underlying asset price, strike price, risk-free rate, time to maturity, and volatility. 2) The Greeks - how the option price is affected by changes in underlying parameters like delta, gamma, vega, and theta. 3) Pricing and hedging of digital options and how their payoff depends on whether the underlying asset price ends above or below the strike price at expiration.

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    This document discusses pricing options in a Black-Scholes world and discusses key concepts like: 1) The Black-Scholes formula for pricing European call and put options in terms of the underlying asset price, strike price, risk-free rate, time to maturity, and volatility. 2) The Greeks - how the option price is affected by changes in underlying parameters like delta, gamma, vega, and theta. 3) Pricing and hedging of digital options and how their payoff depends on whether the underlying asset price ends above or below the strike price at expiration.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    6 views7 pages

    Note 7 Dec 2022

    Uploaded by

    Ron Kurtzbard
    This document discusses pricing options in a Black-Scholes world and discusses key concepts like: 1) The Black-Scholes formula for pricing European call and put options in terms of the underlying asset price, strike price, risk-free rate, time to maturity, and volatility. 2) The Greeks - how the option price is affected by changes in underlying parameters like delta, gamma, vega, and theta. 3) Pricing and hedging of digital options and how their payoff depends on whether the underlying asset price ends above or below the strike price at expiration.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
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