Extensions of the Black-Scholes Theory to Other Types of Options (Futures Options, Currency Options, American Options, Path-Dependent Options, Multi-asset Options)

Gerhard Larcher
Additional contact information
Gerhard Larcher: Johannes Kepler University of Linz

Chapter 2 in The Art of Quantitative Finance Vol.2, 2023, pp 119-250 from Springer

Abstract: Abstract We extend the basic Black-Scholes formula, which was derived in Volume I for European plain vanilla options to more complex types of derivatives like currency options, futures options, American options, path-dependent options, or multi-asset options. We show how to use these extended formulas to price complex types of options with the help of Monte Carlo methods. For some types of path-dependent options (geometric Asian options, barrier options), we also give explicit valuation formulas. We also discuss refinements of Monte Carlo methods, for example, variance reduction methods for Monte Carlo, or quasi-Monte Carlo methods and their application in option pricing.

Keywords: Currency options; Futures options; Valuation of American options; Path-dependent options; Barrier options; Monte Carlo methods; Quasi-Monte Carlo methods; Variance reduction methods; Multi-asset options (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-031-23870-3_2

Ordering information: This item can be ordered from
http://www.springer.com/9783031238703

DOI: 10.1007/978-3-031-23870-3_2

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().