Option pricing is calculated using the Black-Scholes model, which takes four influential factors into account: the price of an underlying stock (assuming constant drift and volatility), an option’s ...

Conversion arbitrage is a risk-neutral strategy in options trading that exploits pricing inefficiencies in calls and puts.

Option pricing and risk management constitute fundamental areas in modern financial theory and practice. Their interdisciplinary nature bridges advanced mathematical modelling, statistical analysis, ...

The option Greeks are key metrics that you need to know if you’re trading options. The Greeks help traders understand how options prices will move in response to changes in major factors such as the ...

American options, which allow early exercise at any point prior to expiry, present a unique challenge in quantitative finance. Their valuation gives rise to free-boundary problems that are typically ...

An option price is the value of an option contract. The option price is determined by the extrinsic and intrinsic value of the option contract. Options are contracts that allow investors to buy or ...

Explore the role of embedded options in financial securities, along with their significance, impact on value, and the various ...

IN DECEMBER 2004, FASB ISSUED ITS NEWEST standard, Statement no. 123(R), Share-Based Payment. It is proving to be as controversial as its predecessors. The most significant change is the requirement ...

The options market is currently pricing in an 8-10% probability of a 30% or greater decline in the S&P 500 at some point in 2026, according to a new analysis from TS Lombard economist Steven Blitz.