blackscholesmerton

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American Approximation Bjerksund & Stensland 1993 is an American Options pricing model. This indicator also includes numerical greeks. You can compare the output of the American Approximation to the Black-Scholes-Merton value on the output of the options panel. The Bjerksund and Stensland (1993) approximation can be used to price American options on stocks,...

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American Approximation: Barone-Adesi and Whaley is an American Options pricing model. This indicator also includes numerical greeks. You can compare the output of the American Approximation to the Black-Scholes-Merton value on the output of the options panel. An American option can be exercised at any time up to its expiration date. This added freedom...

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Samuelson 1965 Option Pricing Formula is an options pricing formula that pre-dates Black-Scholes-Merton. This version includes Analytical Greeks. Samuelson (1965; see also Smith, 1976) assumed the asset price follows a geometric Brownian motion with positive drift, p. In this way he allowed for positive interest rates and a risk premium. c = SN(d1) * e^((rho...

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Boness 1964 Option Pricing Formula is an options pricing model that pre-dates Black-Scholes-Merton. This model includes Analytical Greeks. Boness (1964) assumed a lognormal asset price. Boness derives the following value for a call option: c = SN(d1) - Xe^(rho * T)N(d2) d1 = (log(S / X) + (rho + v^2 / 2) * T) / (v * T^0.5) d2 = d1 - (v * T^0.5) where rho...

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Generalized Black-Scholes-Merton on Variance Form is an adaptation of the Black-Scholes-Merton Option Pricing Model including Numerical Greeks. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version is to price Options using variance instead of volatility. Black- Scholes- Merton on Variance Form In some...

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Asay (1982) Margined Futures Option Pricing Model is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version is to price Options on Futures where premium is fully margined. This...

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Black-76 Options on Futures is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version is to price Options on Futures. The options sensitivities (Greeks) are the partial derivatives...

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Garman and Kohlhagen (1983) for Currency Options is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version of BSMOPM is to price Currency Options. The options sensitivities...

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Generalized Black-Scholes-Merton w/ Analytical Greeks is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". The options sensitivities (Greeks) are the partial derivatives of the...

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Black-Scholes 1973 OPM on Non-Dividend Paying Stocks is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. Making b equal to r yields the BSM model where dividends are not considered. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". The...

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Generalized Black-Scholes-Merton w/ Analytical Greeks is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". The options sensitivities (Greeks) are the partial derivatives of the...

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Generalized Black-Scholes-Merton Option Pricing Formula is an adaptation of the Black-Scholes-Merton Option Pricing Model including Numerical Greeks aka "Option Sensitivities" and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". Black-Scholes-Merton Option Pricing The BSM...