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Black-Scholes and beyond: Option pricing models Ira Kawaller, Neil A. Chriss
Publisher: MGH

In spite of its having attractive properties as a model for the stock exchange, the suitability of fractional Brownian motion for option pricing is controversial. The strike price is a known obligation. Feb 13, 2013 - One example of a consistent theory is the Black-Scholes option pricing model. The unknown value above/below that fixed price is beyond the control of the company and is therefore a contingent (off-balance-sheet) liability. Guasoni, "No Arbitrage under Transaction Costs, with Fractional Brownian Motion and Beyond," Math. How he thinks this is beyond me, seeing as the whole criticism is that policies designed by economists had a hand in causing the crash. By using an option-pricing model. A specific model is not specified, but the most widely used is the Black-Scholes model. The Black-Scholes option-pricing model is a good academic exercise that works better for traded options than stock options. Jul 4, 2011 - Black-Scholes option pricing model ,but I am quite sure that they will rightly smell a trap,which it is. May 31, 2009 - This Demonstration shows the values of vanilla European options in a model based on fractional Brownian motion and on ordinary geometric Brownian motion (the Black–Scholes model). Oct 2, 2009 - The may contain complex economic thinking but are often computationally very simple – the Black-Scholes-Merton model of options pricing is a simple differential equation, a version of the heat or diffusion equation in physics. Jules Says We are a bit like a drug addict that no longer has the imagination or willpower to see beyond the next fix.