About this document
Intuitive Option Pricing Techniques by Cristina Tessari is a document available to read on EtoBox.
The document discusses a method for approximating option prices using the Black-Scholes formula. It presents the "Hardy decomposition" which expresses an option price as the intrinsic value plus a time value based on the at-the-money option price and a "Hardy factor". The Hardy factor depends only on d1, a measure of distance from the strike. Tables and examples are given to demonstrate how to estimate option prices for different strikes by only considering d1. The method allows approximating prices mentall
- Author
- Cristina Tessari
- Language
- EN