Black-Scholes-Merton and Option Sensitivities
Free GARP FRM Part I lesson in Valuation and Risk Models. 23 min read, ~3,474 words.
BSM call price:; put:. With dividends q, replace by and use (r - q) in d_1's drift.:;. is the risk-neutral probability of finishing in the money. Delta for calls (between 0 and 1); for puts (between -1 and 0). It is the share-equivalent to hedge one option. Gamma. Same for...
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- Example 1
- Example 2
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