AN INTRODUCTION TO OPTION PRICING THEORY

Peter G. Zhang
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Peter G. Zhang: Chase Manhattan Bank, Tokyo, Japan

Chapter 2 in Currency Options and Exchange Rate Economics, 1998, pp 7-32 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionThe Black–Scholes Option Pricing ModelRisk-Neutral Valuation Relationship (RNVR)RNVR and MartingalesCompounding and discounting factorsDeriving the Black–Scholes formula using RNVREquity Options with Dividend and Foreign Currency OptionsEquity options with dividendForeign currency optionsFutures OptionsPut-Call ParityModern GreeksTraditional GreeksDelta (δ)VegaTheta (θ)Rho (ρ)Lamda (λ)Gamma (γ)Implied VolatilitySummaryReferences

Date: 1998
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