VANILLA OPTIONS

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

Chapter 3 in Exotic Options:A Guide to Second Generation Options, 1998, pp 55-87 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:EQUITY OPTIONS WITH DIVIDEND AND FOREIGN CURRENCY OPTIONSFUTURES AND FUTURES OPTIONSOTHER POPULAR MODELSPUT-CALL PARITYMODERN GREEKSDELTA HEDGING AND GAMMA HEDGINGIMPLIED VOLATILITYTERM STRUCTURE OF VOLATILITY AND VOLATILITY SMILELIQUIDITY FACTORSUMMARYQUESTIONS AND EXERCISESAPPENDIX

Date: 1998
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