Option Pricing: The Black–Scholes Model

Michael Dempsey

Chapter 12 in Stock Markets, Investments and Corporate Behavior:A Conceptual Framework of Understanding, 2015, pp 203-220 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionThe Principle of Risk NeutralityDerivation of the Black–Scholes FormulaThe Probability That the Call is in the MoneyThe Probability-Weighted Summation Over All In-the-money Outcome PricesA Closed Expression for the Price of a Call OptionOptions on the Index with DividendsTesting the Black–Scholes ModelTime for Reflection: What Have We Learned?

Keywords: Stock Markets; Investments; Corporate Finance; Mathematical Finance (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9781783267002_0012 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9781783267002_0012 (text/html)
Ebook Access is available upon purchase.

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:wsi:wschap:9781783267002_0012

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().