Fengler, Matthias R. (contributor); … - 2005
managing of option portfolios crucially depends on the
accuracy of the underlying pricing models. Consequently, new valuation … approaches are
continuously developed in departing from the foundations of option theory laid by Black
and Scholes (1973), Merton … plain vanilla calls and puts are derived: given the current un-
derlying price at time, the option’s strike price, its …