OPTION PRICING METHODOLOGY

Peter G. Zhang
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Peter G. Zhang: Capital Markets Research, Chase Manhattan Bank, USA

Chapter 2 in Exotic Options:A Guide to Second Generation Options, 1998, pp 21-52 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:EQUILIBRIUM AND ARBITRAGEBASIC OPTION TERMINOLOGYTHE BLACK-SCHOLES OPTION PRICING MODELPRICING OPTIONS USING THE ARBITRAGE-FREE ARGUMENTSOLVING PARTIAL DIFFERENTIAL EQUATIONSRISK-NEUTRAL VALUATION RELATIONSHIPMONTE CARLO SIMULATIONSLATTICE- AND TREE-BASED METHODMETHOD USED IN THIS BOOKQUESTIONS AND EXERCISES

Date: 1998
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