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

The unknown value above/below that fixed price is beyond the control of the company and is therefore a contingent (off-balance-sheet) liability. A specific model is not specified, but the most widely used is the Black-Scholes model. The strike price is a known obligation. The Black-Scholes option-pricing model is a good academic exercise that works better for traded options than stock options. When they are selling they drive it lower. 35 Houghton, Collection for Improvement, 22 Jun. 54 Chriss, Black-Scholes and beyond, p. By using an option-pricing model. Jun 3, 2011 - Using the S&P500 as a proxy, and setting the January 1, 2007 stock price at $100/share, Tom's share price at the beginning of each year is as follows: 2008 — $102; 2009 – $66; 2010 — $ 80; and 2011 — $90. Merton 'Theory of rational option pricing'. English, [the buyer] gives Three Guinea's [the premium] for all . Black and Scholes 'Pricing of options'. 16 such a hedge exposed the option seller to losses if the market did move lower. Apr 21, 2011 - When traders are buying a specific option they drive the IV higher.