## Option Pricing and Investment Strategies |

### What people are saying - Write a review

We haven't found any reviews in the usual places.

### Contents

Introduction | 1 |

Properties of Option Pricing | 13 |

The Option Pricing Model | 37 |

Copyright | |

9 other sections not shown

### Other editions - View all

### Common terms and phrases

American option American put option arbitrage asset price binomial bond price call option callable bond cash cashflow Chapter convertible bond coupon curvature delta hedge delta neutral dollars drops duration dynamic hedging equal equation equity European put option example exercise price Figure firm floating rate floor futures contract futures price hedge adjustments hedge position hedging error hedging strategy illustrated implied volatility increase interest rate investment investor kappa loan long position market price maturity mispriced option Months to Expiration mortgage moves one-period option model option position option pricing model option replication option strategies option to exchange option value overpriced payment payoff profile percent period portfolio insurance portfolio value position delta positive gamma premium price changes put option put-call parity risk security price selling Standard Deviation stock price straddle swap Table target option theta tion transaction costs Treasury bond underlying asset underlying security volatility estimate zero zero coupon bond