Abstract
In this chapter, the pricing of options on different underlying types using the Black-Scholes model and the Black-76 model is presented. The values listed in Figure 17.1 will repeatedly be used in the following examples.
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© 2009 Hans-Peter Deutsch
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Deutsch, HP. (2009). Plain Vanilla Options. In: Derivatives and Internal Models. Finance and Capital Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9780230234758_17
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DOI: https://doi.org/10.1057/9780230234758_17
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-30766-1
Online ISBN: 978-0-230-23475-8
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