- arbitrage-free option-pricing model
- Биржевой термин: безарбитражная модель оценки опционов
Универсальный англо-русский словарь. Академик.ру. 2011.
arbitrage-free option-pricing model
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Black-Scholes option pricing model — A model for pricing call options based on arbitrage arguments. Uses the stock price, the exercise price, the risk free interest rate, the time to expiration, and the expected standard deviation of the stock return. Developed by Fischer Black and… … Financial and business terms
Black-Scholes option-pricing model — A model for pricing call options based on arbitrage arguments that uses the stock price, the exercise price, the risk free interest rate, the time to expiration, and the standard deviation of the stock return. The New York Times Financial… … Financial and business terms
Yield curve option-pricing models — Models that can incorporate different volatility assumptions along the yield curve, such as the Black Derman Toy model. Also called arbitrage free option pricing models. The New York Times Financial Glossary … Financial and business terms
yield curve option-pricing models — Models that can incorporate different volatility assumptions along the yield curve, such as the Black Derman Toy model. Also called arbitrage free option pricing models. Bloomberg Financial Dictionary … Financial and business terms
Binomial options pricing model — BOPM redirects here; for other uses see BOPM (disambiguation). In finance, the binomial options pricing model (BOPM) provides a generalizable numerical method for the valuation of options. The binomial model was first proposed by Cox, Ross and… … Wikipedia
Capital asset pricing model — In finance, the Capital Asset Pricing Model (CAPM) is used to determine a theoretically appropriate required rate of return of an asset, if that asset is to be added to an already well diversified portfolio, given that asset s non diversifiable… … Wikipedia
Constant Elasticity of Variance Model — In mathematical finance, the CEV or Constant Elasticity of Variance model is a stochastic volatility model, which attempts to capture stochastic volatility and the leverage effect. The model is widely used by practitioners in the financial… … Wikipedia
Economic model — A diagram of the IS/LM model In economics, a model is a theoretical construct that represents economic processes by a set of variables and a set of logical and/or quantitative relationships between them. The economic model is a simplified… … Wikipedia
Rational pricing — is the assumption in financial economics that asset prices (and hence asset pricing models) will reflect the arbitrage free price of the asset as any deviation from this price will be arbitraged away . This assumption is useful in pricing fixed… … Wikipedia
Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European … Wikipedia
Algorithmic trading — In electronic financial markets, algorithmic trading or automated trading, also known as algo trading, black box trading, or robo trading, is the use of computer programs for entering trading orders with the computer algorithm deciding on certain … Wikipedia
