About this document
Black-Scholes Model and Greeks Explained by Anton Simanenka is a document available to read on EtoBox.
This document provides an overview of the Black-Scholes formula for pricing European options and defines the Greeks, which are the partial derivatives of the option price with respect to changes in the underlying parameters. It first presents the Black-Scholes formula for a European call option at a specific time and explains how it can be generalized for any time until expiration. It then defines put-call parity and provides the Black-Scholes formula for European put options. Finally, it lists the Greeks -
- Author
- Anton Simanenka
- Language
- EN