Black-Scholes is a mathematical model used for pricing options.
23
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4answers
916 views
Are there any new Option pricing models?
Back in the mid 90's I used the Black-Scholes Model and the Cox-Ross-Rubenstein (Binomial) Model's to price Options. That was nearly 15 years ago and I was wondering if there are any new models being ...
10
votes
3answers
1k views
Is there an all Java options-pricing library (preferably open source) besides jquantlib?
I am looking for an all-java implementation of black scholes, preferably open source. I found jquantlib and quantlib (C++). Any other recommendations?
The jquantlib site seems to be down.
I'd prefer ...
2
votes
1answer
195 views
What are $d_1$ and $d_2$ for Laplace?
What are the formulae for d1 & d2 using a Laplace distribution?
23
votes
8answers
1k views
Option pricing before Black-Scholes
According to the Wikipedia article,
Contracts similar to options are believed to have been used since ancient times.
In London, puts and "refusals" (calls) first became well-known trading ...
5
votes
2answers
795 views
How to extrapolate implied volatility for out of the money options?
Estimation of model-free implied volatility is highly dependent upon the extrapolation procedure for non-traded options at extreme out-of-the-money points.
Jiang and Tian (2007) propose that the ...
3
votes
4answers
548 views
Ways of treating time in the BS formula
The Black-scholes formula typically has time as $\sqrt{T-t}$ or some such. My questions:
What is the granularity of this? If we treat $t$ as the number of days, then logically on the day of expiry, ...
6
votes
2answers
386 views
Vanilla European options: Monte carlo vs BS formula
I have implemented a monte carlo simulation for a plain vanilla European Option and I am trying to compare it to the analytical result obtained from the BS formula.
Assuming my monte carlo pricer is ...
-2
votes
2answers
192 views
BS and delta hedging questions
I have two related questions concerning Black Scholes and delta hedging. I thought about this two questions, but I could not come up with an answer, so maybe you guys & girls can help me:
If an ...
