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oGBS( ) Model Definition

The Generalized Black Scholes option pricing model is defined as follows:

Equation Template


OV = option value.

S = spot price of the underlying asset.

X = exercise price (strike).

r = risk-free interest rate, expressed with continuous compounding.

s = volatility of the relative price change of the underlying asset.

b = cost of carry for the underlying asset, expressed with continuous compounding.

T = time to maturity measured in years (actual/365 basis).

N(.) = cumulative normal distribution of (.).

iPC = 1 for call / -1 for put

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