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The Discrete Binomial Model for Option Pricing Rebecca Stockbridge Program in Applied Mathematics University of Arizona May 14, 2008 Abstract This paper introduces the notion of option pricing in the context of ﬁnancial markets.

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the black-scholes option-pricing model The value of the call option one year from now depends on the stock price. Assume you buy H shares of the stoc k and write one call option.

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We use the general option pricing formula above, equation 5, to price the call and put options with payoﬀs (s−K) + and (K −s) + , respectively. This gives the Black-Scholes-Merton Formula for the call and put:

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1 CHAPTER 5 OPTION PRICING THEORY AND MODELS In general, the value of any asset is the present value of the expected cash flows on that asset. In this section, we will consider an exception to that rule when we will look at

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Basic Black-Scholes: Option Pricing and Trading Timothy Falcon Crack BSc (HONS 1st Class), PGDipCom, MCom, PhD (MIT), IMC This new book gives extremely clear explanations of Black-Scholes option pricing theory, and discusses direct applications of the theory to option trading.

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Objective: After reading this chapter, you will understand the valuation of options. 3.1 Option Valuation In this section, we will examine some of the basic concepts of option valuation. Later, we will use more precise valuation methods such as the Black-Scholes formula or the binomial option-pricing model. There are two types of options

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DSEC03.pdf - Free download as PDF File (.pdf), Text File (.txt) or read online for free. we will examine some of the basic concepts of option valuation. Later, we will use more precise valuation methods such as the Black-Scholes formula or the binomial option-pricing model. There are two types of options: the European options, which can be

### Basic black scholes option pricing and trading pdf

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Derivation and Comparative Statics of the Black-Scholes Call and Put Option Pricing Formulas alternative derivation of the Black-Scholes option pricing formulas based upon an integration with a long position in a European call option. The Black-Scholes trading strategy synthetically replicates