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

Mar 12, 2012 - which is about models that go beyond Black-Scholes, that try to explain the nature of option pricing in equity derivatives. Jules Says We are a bit like a drug addict that no longer has the imagination or willpower to see beyond the next fix. And an option's “fair value” can easily be calculated now using widely available option-pricing models like Black-Scholes. Then Black-Scholes came out and traders started using the Black-Scholes (BS) formula and it worked pretty well, until Black .. Guasoni, "No Arbitrage under Transaction Costs, with Fractional Brownian Motion and Beyond," Math. 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). With today's options commonly issued with a lifespan of 10 years, this time value can be significant. Jul 4, 2011 - Black-Scholes option pricing model ,but I am quite sure that they will rightly smell a trap,which it is. 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. A long long time ago, before Black Monday in 1987, people didn't know how to price options. Aug 31, 2013 - The longer the lifespan, the more time during which the underlying stock's price could appreciate beyond the exercise price, and the more valuable the option becomes. And Black-Scholes doesn't work quite right; it doesn't describe the way volatility behaves. Sep 3, 2013 - Black-Scholes and beyond: Option pricing models - download pdf ebook. Black-Scholes and beyond: Option pricing models by Ira Kawaller, Neil A.