Option Pricing

1
Option Pricing

• Chapter 13

2
Call Pricing
Attainable range
X/ert
3
Call Pricing
X/ert
X
4
Hedging Theory

• As underlying assets price increases by one unit
• Price of call premium will increase by the slope
  of the linedC/dS
• Develop hedge ratio that results in no change
  when underlying asset price changes