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Properties of Option Pricing
The Option Pricing Model
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adjust the hedge American option American put option April 50 April Expiration arbitrage Black-Scholes bond price bondholders buying call option callable bond cash cashflow Chapter convertible bond corporate bonds coupon current price debt delta neutral drops duration dynamic hedge e"rTE equal Equation equity example exercise price expiration date exposure Figure firm floor Formula price futures contract futures price gamma strategy hedge position hedge ratio higher Honeywell implied volatility incremental liabilities interest rate investment investor kappa loan long position market price maturity mispriced option Months to Expiration mortgage option formula option model option position option price option pricing formula option strategy option value payment payoff profile percent period portfolio insurance portfolio value position delta position value positive gamma premium price changes price moves profit profile put option put-call parity replicate risk sell short position stock price straddle surplus Table theta tion Trading Strategy underlying portfolio volatility estimate worth zero zero coupon bond