Models of option pricing

Jia Shao; Nathan Lael Joseph; Ahmed A. El-Masry

doi:10.1142/9789811269943_0003

Models of option pricing

Jia Shao^*, Nathan Lael Joseph, Ahmed A. El-Masry

^*Corresponding author for this work

Mathematics

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Abstract

Starting from humble beginnings, the use of financial options has substantially increased as an important financial tool for both speculation and hedging over the last 50 years. This chapter discusses both the theoretical and practical applications of financial options and related models. While the content is somewhat technical, we provide illustrations of their applications in simple settings. We address particular stylized features of option pricing models.

Original language	English
Title of host publication	Handbook Of Investment Analysis, Portfolio Management, And Financial Derivatives
Publisher	World Scientific
Pages	117-170
Number of pages	54
Volume	1
ISBN (Electronic)	9789811269943
ISBN (Print)	9789811269936
DOIs	https://doi.org/10.1142/9789811269943_0003
Publication status	Published - Jun 2024

Bibliographical note

Publisher Copyright:
© 2024 World Scientific Publishing Company. All rights reserved.

Keywords

Black-Scholes model
Financial options
Hedging
Volatility

ASJC Scopus subject areas

General Economics,Econometrics and Finance
General Business,Management and Accounting

Access to Document

10.1142/9789811269943_0003Licence: None: All rights reserved

Cite this

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Models of option pricing

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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Cite this