Chapter 7. The Black-Scholes Model

Chapters in this book

1. Frontmatter I
2. About De/G PRESS V
3. Contents VII
4. Chapter 1. Introduction to Derivatives 1
5. Chapter 2. Futures & Forwards 11
6. Chapter 3. Introduction to Options 27
7. Chapter 4. Simple Options Trading Strategies 45
8. Chapter 5. Options Pricing History 63
9. Chapter 6. Binomial Tree Valuation 69
10. Chapter 7. The Black-Scholes Model 85
11. Chapter 8. Option Sensitivities—The Greeks 97
12. Chapter 9. Dynamic Hedging 111
13. Chapter 10. Options on Indices, Futures, and Foreign Exchanges 121
14. Chapter 11. Volatility Smiles 127
15. Chapter 12. Volatility & Variance Swaps 137
16. Chapter 13. The Monte Carlo Method 145
17. Chapter 14. Exotics 149
18. Chapter 15. Interest Rate Swaps 157
19. Chapter 16. Risk Management and Value at Risk 177
20. Chapter 17. Credit Derivatives 191
21. Chapter 18. Structured Products 207
22. Chapter 19. Optionality in Corporate Structures 215
23. Chapter 20. Real Options 225
24. Index 231