Jump to ContentJump to Main Navigation

You are looking at 1-11 of 11 items

  • Keywords: Black-Scholes model x
Clear All Modify Search

View:

Black–Scholes from a Martingale Point of View*

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0012
Subject:
Economics and Finance, Financial Economics

This chapter discusses the standard Black-Scholes model from the martingale point of view. The probability space (Ω, □, P, □-) carrying a P-Wiener process W-, where the filtration □- is the one ... More


Myron S. Scholes: 1941–: Professor of Derivatives

Edward Morris

in Wall Streeters: The Creators and Corruptors of American Finance

Published in print:
2015
Published Online:
May 2016
ISBN:
9780231170543
eISBN:
9780231540506
Item type:
chapter
Publisher:
Columbia University Press
DOI:
10.7312/columbia/9780231170543.003.0009
Subject:
Business and Management, Business History

The chapter traces the major role of Myron Scholes in the development of investment derivatives.


Real Options and Expanded Net Present Value

Patrick L. Anderson

in The Economics of Business Valuation: Towards a Value Functional Approach

Published in print:
2013
Published Online:
September 2013
ISBN:
9780804758307
eISBN:
9780804783224
Item type:
chapter
Publisher:
Stanford University Press
DOI:
10.11126/stanford/9780804758307.003.0012
Subject:
Economics and Finance, Financial Economics

This chapter demonstrates the importance of management flexibility regarding the timing, scale, and type of investments, which is the basis for the study of “real options.” The chapter describes an ... More


Parity Relations and Delta Hedging

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0009
Subject:
Economics and Finance, Financial Economics

The structure of the hedging portfolio is quite complicated, and is continuously rebalanced. This continuous rebalancing presents a problem since real life trading has a cost. For managerial ... More


Multidimensional Models: Classical Approach

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0013
Subject:
Economics and Finance, Financial Economics

This chapter generalizes the Black-Scholes model to the case where, apart from the risk free asset, there are several underlying risky assets. The analysis is carried out using the “classical” ... More


Derivatives

Claus Munk

in Financial Asset Pricing Theory

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199585496
eISBN:
9780191751790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199585496.003.0013
Subject:
Economics and Finance, Econometrics

This chapter gives an introduction to the markets for derivative securities and illustrates how such derivatives can be priced using the general theory developed in earlier chapters and, in ... More


Arbitrage Pricing

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.003.0007
Subject:
Economics and Finance, Econometrics

The chapter starts with a detailed discussion of the bank account in discrete and continuous time. The Black–Scholes model is then introduced, and using the principle of no arbitrage we study the ... More


Options

Alan N. Rechtschaffen

in Capital Markets, Derivatives, and the Law: Positivity and Preparation

Published in print:
2019
Published Online:
May 2019
ISBN:
9780190879631
eISBN:
9780190879662
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190879631.003.0013
Subject:
Law, Company and Commercial Law

An option is a derivative that derives its value from another underlying asset, instrument, or index. Options “transfer the right but not the obligation to buy or sell the underlying asset, ... More


Options

Alan N. Rechtschaffen

in Capital Markets, Derivatives and the Law: Evolution After Crisis

Published in print:
2014
Published Online:
May 2014
ISBN:
9780199971541
eISBN:
9780199361458
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199971541.003.0010
Subject:
Law, Company and Commercial Law

An option is a type of derivative. It transfers the right, but not the obligation, to buy or sell the underlying asset, instrument, or index at a specified price, known as the strike price, at some ... More


Distributions of High-Frequency Stock Market Observables

Roberto Osorio, Lisa Borland, and Constantino Tsallis

in Nonextensive Entropy: Interdisciplinary Applications

Published in print:
2004
Published Online:
November 2020
ISBN:
9780195159769
eISBN:
9780197562024
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780195159769.003.0023
Subject:
Earth Sciences and Geography, Atmospheric Sciences

Power laws and scaling are two features that have been known for some time in the distribution of returns (i.e., price fluctuations), and, more recently, in the distribution of volumes (i.e., ... More


Fundamentals of Cost and Risk that Matter to Pension Savers and Life Annuitants

Catherine Donnelly, Montserrat Guillen, and Jens Perch Nielsen

in Retirement System Risk Management: Implications of the New Regulatory Order

Published in print:
2016
Published Online:
November 2016
ISBN:
9780198787372
eISBN:
9780191835483
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198787372.003.0009
Subject:
Business and Management, Pensions and Pension Management, Finance, Accounting, and Banking

This chapter analyzes two types of investment strategies for an investor with a retirement savings plan. In the first, the investor sets an upper target which his wealth should not exceed. In the ... More


View: