The Options Mechanics Group shall meet again on Aug 8th (i.e. every second week).
We shall review the Black & Scholes model and particularly Greeks again in more detail. Rest assured that we'll soon only consider the main B&S equations as generic formulae such as Option Price = Function(Underlying, Option Strike, Implied Volatility, Time To Maturity, Risk-Free Rate, Dividend Yield), i.e. a function of 6 variables.
The objective of the first set of presentations is to be able to understand how to build a Option Pricer.
In the future, I shall leave more advanced content to a blog entry here on this forum.
Attached: Powerpoint presentation and a short doc that summarises B&S.
Links: B&S on Wikipedia, B&S Greeks on Wikipedia
We shall review the Black & Scholes model and particularly Greeks again in more detail. Rest assured that we'll soon only consider the main B&S equations as generic formulae such as Option Price = Function(Underlying, Option Strike, Implied Volatility, Time To Maturity, Risk-Free Rate, Dividend Yield), i.e. a function of 6 variables.
The objective of the first set of presentations is to be able to understand how to build a Option Pricer.
In the future, I shall leave more advanced content to a blog entry here on this forum.
Attached: Powerpoint presentation and a short doc that summarises B&S.
Links: B&S on Wikipedia, B&S Greeks on Wikipedia