Chapter 3. VANILLA OPTIONS

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

Chapter 3 in Exotic Options:A Guide to Second Generation Options, 1997, pp 55-87 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:EQUITY OPTIONS WITH DIVIDEND AND FOREIGN CURRENCY OPTIONSEquity Options with DividendForeign Currency OptionsFUTURES AND FUTURES OPTIONSFuturesFutures OptionsOTHER POPULAR MODELSUncertain Strike PricesConstant Elasticity ModelBrownian Motion with JumpsA Pricing Model with Transaction CostStochastic Volatility ModelThe Term Structure of Interest RatePUT-CALL PARITYMODERN GREEKSTraditional GreeksHigher SensitivitiesDELTA HEDGING AND GAMMA HEDGINGIMPLIED VOLATILITYTERM STRUCTURE OF VOLATILITY AND VOLATILITY SMILELIQUIDITY FACTORSUMMARYQUESTIONS AND EXERCISESQuestionsExercisesAPPENDIXCalculating the Cumulative Distribution Function of the Central χ2 DistributionModified Bessel Function of the First Kind

Date: 1997
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