SIMPLE EXTENSIONS AND APPLICATIONS OF THE BLACK–SCHOLES TYPE MODELS IN VALUATION AND RISK MANAGEMENT

Mondher Bellalah
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Mondher Bellalah: Université de Cergy-Pontoise, France

Chapter 9 in Derivatives, Risk Management & Value, 2009, pp 403-437 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Chapter OutlineIntroductionApplications of the Black–Scholes ModelValuation and the role of equity optionsValuation and the role of index optionsAnalysis and valuationArbitrage between index options and futuresValuation of options on zero-coupon bondsValuation and the role of short-term options on long-term bondsValuation of interest rate optionsValuation and the role of bond options: the case of coupon-paying bondsThe valuation of a swaptionApplications of the Black's ModelOptions on equity index futuresOptions on currency forwards and options on currency futuresOptions on currency forwardsOptions on currency futuresThe Black's model and valuation of interest rate capsThe Extension to Foreign Currencies: The Garman and Kohlhagen Model and its ApplicationsThe currency call formulaThe currency put formulaThe interest-rate theorem and the pricing of forward currency optionsThe Extension to Other Commodities: The Merton, Barone-Adesi and Whaley Model, and Its ApplicationsThe modelAn application to portfolio insuranceThe Real World and the Black–Scholes Type ModelsVolatilityThe hedging strategyThe log-normal assumptionA world of finite tradingTotal varianceBlack–Scholes as the limiting caseUsing the model to optimize hedgingSummaryQuestionsAppendixReferences

Keywords: Options; Forwards; Futures; Valuation; Hedging; Arbitrage; Speculation; Pricing (search for similar items in EconPapers)
Date: 2009
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