Questions tagged [black-scholes]

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

635 questions
59 views

Implied Volatility of a call plus its delta

I would like to understand if exists a smart way to imply the volatility from a quote that is the sum of a call and its delta: is there any method other than simple iterative minimization?
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Different scaling conventions for greeks

I have been following this tutorial (http://gouthamanbalaraman.com/blog/value-options-commodity-futures-black-formula-quantlib-python.html). It says in the conclusion and I quote:It is worth pointing ...
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Pricing call option on S&P 500 [duplicate]

How to price December 2020 maturity European call option of S&P 500 (Strike of 3000). What should be the risk free rate ?
133 views

Interpretation of drift parameter $\mu$ in GBM

Currently studying Ito's calculus. Looking on the GBM model: $\frac{d S_t}{S_t} = μ dt + \sigma d B_t$ we end up on the expected stock price at time t: $E[S_t]=s_0 e^{\mu t}$.What does actually $\mu$ ...
118 views

Quoting options with reference price and delta

I always thought equity options where quoted with implied volatility, the price being given by the Black-Scholes price of the option with volatility equal to the implied volatlity. But apparently ...
51 views

Is this the right formula to use implied volatility to gauge probability of a stock being within a certain range? [duplicate]

I read online somewhere, and I can't find it now, that to find the probability of a stock hitting a certain price within a certain time frame, we can use Implied Volatility: ...
738 views

What is Dual Delta?

I understand that it is the partial derivative of option price with respect to strike. What is it used for though? What does your dual delta signify?