No Access
BLACK-SCHOLES DYNAMICS
https://doi.org/10.1142/9789812792914_0006Cited by:0 (Source: Crossref)
Abstract:
The following sections are included:
The Structure of Black-Scholes Dynamics
Approaches to Arbitrage-Free Pricing
The Differential-Equation Approach
The Equivalent-Martingale Approach
Applications
Forward Contracts
European Options on Positive-Investment Assets
Extensions of the Black-Scholes Theory
Properties of Black-Scholes Formulas
Symmetry and Put-Call Parity
Extreme Values and Comparative Statics
Implicit Volatility
Delta Hedging and Synthetic Options
Instantaneous Risks and Expected Returns of European Options
Holding-Period Returns for European Options
