18. Properties of Option Prices

  1. T. W. Epps

Published Online: 23 MAR 2009

DOI: 10.1002/9780470455289.ch18

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

How to Cite

Epps, T. W. (2009) Properties of Option Prices, in Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470455289.ch18

Publication History

  1. Published Online: 23 MAR 2009
  2. Published Print: 2 MAR 2009

ISBN Information

Print ISBN: 9780470431993

Online ISBN: 9780470455289

SEARCH

Keywords:

  • option prices;
  • black-scholes-merton formulas;
  • delta hedging;
  • european put-call parity;
  • black-scholes prices

Summary

This chapter contains sections titled:

  • Bounds on Prices of European Options

  • Properties of Black–Scholes Prices

  • Delta Hedging

  • Does Black–Scholes Still Work?

  • American-Style Options

  • Exercises

  • Empirical Project 6