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2015•IMPERIAL COLLEGE PRESS eBooksRequires access

Option Pricing: The Black–Scholes Model

Michael Dempsey

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Abstract

The following sections are included:IntroductionThe Principle of Risk NeutralityDerivation of the Black–Scholes FormulaThe Probability That the Call is in the MoneyThe Probability-Weighted Summation Over All In-the-money Outcome PricesA Closed Expression for the Price of a Call OptionOptions on the Index with DividendsTesting the Black–Scholes ModelTime for Reflection: What Have We Learned?

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What this paper is about

The following sections are included:IntroductionThe Principle of Risk NeutralityDerivation of the Black–Scholes FormulaThe Probability That the Call is in the MoneyThe Probability-Weighted Summation Over All In-the-money Outcome PricesA Closed Expression for the Price of a Call OptionOptions on the Index with DividendsTesting the Black–Scholes ModelTime for Reflection: What Have We Learned?

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Available abstract

The following sections are included:IntroductionThe Principle of Risk NeutralityDerivation of the Black–Scholes FormulaThe Probability That the Call is in the MoneyThe Probability-Weighted Summation Over All In-the-money Outcome PricesA Closed Expression for the Price of a Call OptionOptions on the Index with DividendsTesting the Black–Scholes ModelTime for Reflection: What Have We Learned?

Key concepts: Black–Scholes model, Economics, Financial economics, Valuation of options, Actuarial science, Volatility (finance)

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