Seite: 75, Zeilen: 8-12, 101-102
|Quelle: Copeland Weston 1992|
Seite(n): 241, 251, Zeilen: 241: 27 ff.; 251: 17 ff.
|[5.5.2 The Formula]
The formula for pricing European call options1, c, on financial assets developed by Black and Scholes (1973) has been described as a function of five parameters: The price of the underlying asset, S; the instantaneous variance of the assets returns, σ2 ; the exercise price, X; the time to expiration, t; and the risk-free rate, rf.
1 European options can only be exercised upon their maturity, as opposed to American options, which can be exercised at any date up to maturity.
Black, F. & Scholes, M. 1973, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy, vol.81, pp. 637-654 (May – June 1973).
F. SOME DOMINANCE THEOREMS THAT BOUND THE VALUE OF A CALL OPTION
The value of a call option has been described as a function of five parameters: the price of the underlying asset, S; the instantaneous variance of the asset returns, σ2; the exercise price, X; the time to expiration; T; and the risk-free rate, rf:
c = f(S, σ2, X, T, rf). (8.1)
B. A DESCRIPTION OF THE FACTORS THAT AFFECT PRICES OF EUROPEAN OPTIONS
To keep the theory simple for the time being, we assume that all options can be exercised only on their maturity date and that there are no cash payments (such as dividends) made by the underlying asset. Options of this type are called European options. They are considerably easier to price than their American option counterparts, which can be exercised at any date up to maturity.
The actual source is not given.
The comparison shows that passages like the listed ones below cannot be found in Black and Scholes (1973):
The text following this fragment is taken from another source, but again not from Black and Scholes (1973), despite the given reference, see Fragment 075 13.