Abstract
Now that I have identified the key factors in options pricing (the underlying instrument market price, the strike price, the underlying instrument volatility, the time to expiration, and the risk-free rate) and examined how these factors are synthesised into an option pricing model, I will now discuss how such models are used by most traders in the options markets.
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Notes
Garman, Mark B. and Steven W. Kohlhagen, “Foreign Currency Option Values”, Journal of International Money and Finance (1983), 2, pp. 231–237.
Black, Fischer, “The Pricing of Commodity Contracts”, Journal of Financial Economics, January 1976, 3: pp. 167–179.
Garman, Mark B., “Forward Prices, Option Prices and “Dividend Corrections””, Working Paper, Department of Business Administration, University of California, Berkeley, April 1983.
Cox, John S., Steven Ross and Mark Rubinstein, “Options Pricing: A Simplified Approach”, Journal of Financial Economics, September 1979, 7: pp. 637–654.
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© 1994 Palgrave Macmillan, a division of Macmillan Publishers Limited
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Tompkins, R. (1994). Advanced Concepts in Options Pricing. In: Options Explained2. Finance and Capital Markets. Palgrave Macmillan, London. https://doi.org/10.1007/978-1-349-13636-0_3
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DOI: https://doi.org/10.1007/978-1-349-13636-0_3
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