Archive for Options

Innovation Risk How to Make Smarter Decisions

Reprint: R1304B New products and services are created to enable people to do tasks better than they previously could or do things they couldnt

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Introducing QuantLib BlackScholes and the Greeks

The Black-Scholes Equation So lets take a closer look at the Black-Scholes equation. First, it is important to understand the basic assumptions of the

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Celebrating BlackScholesMerton

Celebrating Black-Scholes-Merton Published: October 4, 2013 Two Nobel Prize winners look back, and forward, as they reflect on their famous model Professor Robert Merton,

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BlackScholes Model by

Black-Scholes Model — Definition A mathematical formula designed to price an option as a function of certain variables-generally stock price, striking price, volatility, time

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BlackScholes Formula (d1 d2 Call Price Put Price Greeks)

This page explains the Black-Scholes formulas for d1, d2, call option price, put option price, and formulas for the most common option Greeks (delta,

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BlackScholes Excel Formulas and How to Create a Simple Option Pricing Spreadsheet

This page is a guide to creating your own option pricing Excel spreadsheet, in line with the Black-Scholes model (extended for dividends by Merton).

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Black Scholes Calculator

In order to obtain a basic Black-Scholes value, so you can use it on your stock options, fill in the blanks above with the

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BLACK SCHOLES OPTION PRICING MODELS

In order to understand the model itself, we divide it into two parts. The first part, SN(d1), derives the expected benefit from acquiring a