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The Black-Scholes Framework and Extensions

In: Quantitative Analysis, Derivatives Modeling, And Trading Strategies In the Presence of Counterparty Credit Risk for the Fixed-Income Market

Author

Listed:
  • YI TANG

    (Goldman, Sachs & Co., Inc., USA)

  • BIN LI

    (Westport Financial, LLC, USA)

Abstract

The following sections are included:More on Martingale ModelsSingle State Variable and Single NumeraireSingle State Variable and Multiple NumerairesBlack's ModelPut-Call Parity RevisedReplication ModelImpact of Volatility Skews and Smiles on Hedge Ratios and Hedging StrategiesOther Extensions of Black-Scholes Framework

Suggested Citation

  • Yi Tang & Bin Li, 2007. "The Black-Scholes Framework and Extensions," World Scientific Book Chapters, in: Quantitative Analysis, Derivatives Modeling, And Trading Strategies In the Presence of Counterparty Credit Risk for the Fixed-Income Market, chapter 3, pages 123-152, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812706652_0003
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