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

(Note: This is not 7% because the options would still retain some time value. That is exactly what that remaining 5% (or 1%) represent. May 30, 2012 - But once shares broke $30, and then $29 shortly after, implied volatility quickly spiked towards the 65% (on the y-axis, if you're using a Black-Scholes option pricing model) and above 75% in the June out-of the-money puts. Let's take a look at options strategies that go beyond a day. The price of the underlying security least a 6% price move to break even. Apr 21, 2011 - When traders are buying a specific option they drive the IV higher. Question on an option trader's mind: Is this option "cheap" or "expensive"? The most commonly used apparatus for valuing options is the Black-Scholes model, which considers five factors in calculating a particular option's theoretical fair value: 1. When they are selling they drive it lower. [Editor's So it looks like Facebook will become a favored playground for active traders, which will be good for liquidity. The chances are slim The Black and Scholes model is very powerful for option pricing and provides very interesting data on the impact of time, base asset price movements and standard deviation on the price of options. Dec 3, 2010 - Black-Scholes and Beyond: Option Pricing Models List Price: $70.00 List Price: $70.00 Your Price: $242.85- An unprecedented book on option pricing! Jan 16, 2009 - A black swan refers to a large-impact, hard-to-predict, and rare event beyond the realm of normal expectations.