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On expansions for the Black-Scholes prices and hedge parameters
Jean-Philippe Aguilar
mathematical finance / option greeksResource overview

On expansions for the Black-Scholes prices and hedge parameters

Paper2018

by Jean-Philippe Aguilar

Tags
mathematical financeoption greeksoption pricing

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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.

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

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

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