Stock
Stock option
In finance, an option is a contract which gives the buyer (the owner) the right, but not the obligation, to buy or sell an underlying asset or instrument at a specified strike price on or before a spe...
Stock option - Wikipedia
Option style
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Valuation of options
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Black-Scholes
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Heston model
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SABR Volatility Model
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Binomial options pricing model
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Monte Carlo methods for option pricing
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Finite difference methods for option pricing
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Pin risk
Valuation of options - Slideshow
Option style
In finance, the style or family of an option is the class into which the option falls, usually defined by the dates on which the option may be exercised. The vast majority of options are either Europ...
Valuation of options
In finance, a price (premium) is paid or received for purchasing or selling options. This price can be split into two components.These are:
The intrinsic value is the difference between the underl...
Black-Scholes
The Black–Scholes /ˌblæk ˈʃoʊlz/ or Black–Scholes–Merton model is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Bl...
Black-Scholes - Wikipedia
Heston model
In finance, the Heston model, named after Steven Heston, is a mathematical model describing the evolution of the volatility of an underlying asset. It is a stochastic volatility model: such a model as...
SABR Volatility Model
In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for "stochastic alpha, beta, rho", ref...
Binomial options pricing model
In finance, the binomial options pricing model (BOPM) provides a generalizable numerical method for the valuation of options. The binomial model was first proposed by Cox, Ross and Rubinstein in 1979....
Monte Carlo methods for option pricing
In mathematical finance, a Monte Carlo option model uses Monte Carlo methods to calculate the value of an option with multiple sources of uncertainty or with complicated features. The first applicat...
Finite difference methods for option pricing
Finite difference methods for option pricing are numerical methods used in mathematical finance for the valuation of options. Finite difference methods were first applied to option pricing by Eduardo...
Pin risk
Pin risk occurs when the market price of the underlier of an option contract at the time of the contract's expiration is close to the option's strike price. In this situation, the underlier is said to...
Martingale pricing
Martingale pricing is a pricing approach based on the notions of martingale and risk neutrality. The martingale pricing approach is a cornerstone of modern quantitative finance and can be applied to a...
Options strategies
Option strategies are the simultaneous, and often mixed, buying or selling of one or more options that differ in one or more of the options' variables. This is often done to gain exposure to a specif...
Volatility smile
Volatility smiles are implied volatility patterns that arise in pricing financial options. In particular for a given expiration, options whose strike price differs substantially from the underlying as...