Aaron Schlegel's Notebook of Interesting Things

Due to the number of different extensions and options on possible underlying assets, a generalized Black-Scholes model was created to simplify computations by significantly reducing the number of equations. In this post, we will explore several of the Black-Scholes option pricing models for different underlying assets and then introduce the generalized Black-Scholes pricing formula.

The Greeks are used as risk measures that represent how sensitive the price of derivatives are to change.

Introduces the call and put option pricing using the Black-Scholes formula and Python implementations.

Discusses calculations of the implied volatility measure in pricing security options with the Black-Scholes model.

Introduces the put-call parity as identified by Hans Stoll in 1969 as well as Python code for computing the put-call parity both numerically and symbolically.