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Published in:
2002 | OriginalPaper | Chapter
Plain Vanilla Options
Author : Hans-Peter Deutsch
Published in: Derivatives and Internal Models
Publisher: Palgrave Macmillan UK
Included in: Professional Book Archive
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In this chapter, the pricing of options on different underlying types using the Black- Scholes model and the Black-76 model is presented. The values listed in Figure 18.1 will repeatedly be used in the following examples.