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Black-Scholes Option Pricing Models
This document comprises of 4 incredibly useful Black-Scholes option pricing models.
Within this tool, you will find 4 different Black-Scholes option pricing models. These are:
1) The original Black-Scholes option pricing model
2) An extension that includes a constant yield and continuous dividend payment
3) Another extension for dividends known with certainty during the life of the option
4) A Black-Scholes based model for approximating the value of an American call
- The first model is the basic Black-Scholes model, with the European option on an asset that does not pay dividends.
- The second model is an extension of the original Black-Scholes model. This model differs from the original in that it assumes that the underlying asset pays dividends continuously and at a constant yield.
- The third model within this tool is the Known Dividend model. This, again, is a modification of the basic Black-Scholes model, and includes dividends which are known with certainty.
- The final model is the American Option with Known Dividend model. This model approximates the value of an American call with known dividends.
The tool also includes a technical note, which succinctly explains the math behind all of the calculations within these models and shows how the models' assumptions are generated. This technical note also offers suggestions of the scenarios in which each model may be useful.
This business tool includes
1 Excel Spreadsheet
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- John Seeley(last updated: 18/04/2019 21:26)
- Michael Repper, CPA, CMA(last updated: 01/04/2019 20:05)
- Gaurang Morarka(last updated: 12/02/2019 07:35)
- Svein Gunnar Haugen(last updated: 24/01/2019 01:06)
- Chris McLean(last updated: 07/01/2019 00:48)
- Mohit Nagar(last updated: 19/12/2018 22:57)
- Viet Can Thanh(last updated: 17/12/2018 09:46)
- William Boll(last updated: 28/09/2018 20:57)
- Umer Farooq(last updated: 20/09/2018 16:49)
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