Modelling, Pricing, and Hedging

Alex Backwell
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Alex Backwell: University of Cape Town

Chapter 8 in An Intuitive Introduction to Finance and Derivatives, 2023, pp 73-86 from Springer

Abstract: Abstract Derivative pricing and hedging are tackled, in the context of stochastic models. The canonical binomial model and Black–Scholes–Merton model are introduced and discussed. Limitations, extensions, and tradeoffs are explored.

Keywords: No-arbitrage modelling; Binomial model; Black–Scholes–Merton model; Fundamental theorems of asset pricing (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-031-23453-8_8

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DOI: 10.1007/978-3-031-23453-8_8

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