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Black-Scholes and beyond: Option pricing models Ira Kawaller, Neil A. Chriss
Publisher: MGH

With today's options commonly issued with a lifespan of 10 years, this time value can be significant. Apr 1, 2013 - Monday, 1 April 2013 at 14:07. The most commonly used apparatus for valuing options is the Black-Scholes model, which considers five factors in calculating a particular option's theoretical fair value: 1. The price of the underlying security least a 6% price move to break even. And an option's “fair value” can easily be calculated now using widely available option-pricing models like Black-Scholes. Black-Scholes and beyond: Option pricing models book download. Aug 31, 2013 - The longer the lifespan, the more time during which the underlying stock's price could appreciate beyond the exercise price, and the more valuable the option becomes. Download Black-Scholes and beyond: Option pricing models. (Note: This is not 7% because the options would still retain some time value. Amazon.com: Customer Reviews: Black-Scholes and Beyond: Option. Question on an option trader's mind: Is this option "cheap" or "expensive"?