# Questions tagged [black-scholes]

Black-Scholes is a mathematical model used for pricing options.

794 questions
Filter by
Sorted by
Tagged with
11 views

183 views

### Deriving the black-scholes formula for the European asset-or-nothing call option

I would like to find out what boundary/final conditions i should be using to find the formula for a European asset-or-nothing call option, as i feel that is where I'm making my mistake. I've read ...
215 views

### Black and Scholes equation for portfolio **with** arbitrage

I am well aware of how the ordinary Black and Scholes equation is derived, under the assumption of an arbitrage free portfolio, $V=G-hS$. Here $S$ is the price of the underlying and $G$ is the option ...
26 views

### Can you explain the Black-Scholes fair option equation with RND?

I am trying to learn Black-Scholes risk-neutral densities with only prior knowledge of fundamental B-S equations (not the derivation). Sorry if this was asked already or if I sound completely clueless....
6k views

### Calculate strike from Black Scholes delta

I have a list of deltas and their corresponding volatilities in an FX market but I want to go from delta to strike price. In this Question similar problem is being discussed How can I calculate the ...
51 views

### BS model without volatility

Maybe it is a naive question, I simply can't understand how the industry is using the BS model to price options, as the option pricing formula requires implied volatility as an input, which itself is ...
59 views

### yield curve basics

Suppose we observe the following term structure (of annualised spot rates): 0-3 Months $\rightarrow$ 4.0%. 0-6 Months $\rightarrow$ 4.2%. 0-9 Months $\rightarrow$ 4.4%. Question1) How can we ...
32 views

6k views

### Black-Scholes under stochastic interest rates

I'm trying to implement the Black-Scholes formula to price a call option under stochastic interest rates. Following the book of McLeish (2005), the formula is given by (assuming interest rates are ...
43 views

### Black & Scholes under stochastic interest rate (Vasicek) [closed]

I'm a beginner in Quantitative finance and I'd like to ask you for help about this exercise. I have to price a put option on a risky asset by working under stochastic interest rate, so I have to ...
61 views

### Implied volatility and greeks of options

When we are calculating deltas or vegas for different strikes should we use the underlying asset's volatility or should we use the implied volatility for the specific strikes at a fixed maturity? ...
53 views

### lognormal assumption of Black Scholes

I have recently started learning about option pricing and the Black Scholes formula, where stock prices are assumed to be lognormally distributed and returns normally distributed. While trying to do ...
92 views

### Connecting the dots: Black Scholes, Volatility and Implied Volatility

I am a first year Management & Finance undergrad preparing for my second year Finance courses, given that term 3 and exams have pretty much been cancelled for all British first years. During that ...
268 views

### Why is it so rare for finance theory to depart from the normal distribution?

I understand almost all of the theory that has been built upon in quantitative finance is based on the normal distribution, and obviously you wouldn't want to throw all of it out the window on a whim ...
Question: What is the delta of an at-the-money European call option with respect to volatility? Note that \frac{\partial\Delta}{\partial\sigma} = N'(d_1) \frac{\partial d_1}{\partial\sigma} = N'(...