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Inverse and Quanto Inverse Options in a Black-Scholes World
Arben Imeraj / Carol Alexander / Ding Chen
cryptocurrencies / derivativesResource overview

Inverse and Quanto Inverse Options in a Black-Scholes World

Paper2021

by Arben Imeraj, Carol Alexander, Ding Chen

Tags
cryptocurrenciesderivativesmathematical financeoption pricingoptions hedging

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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