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# European option

A European option is either of put or call type:

** European call** Pay-off=max(S(T)-K,0)

** European put** Pay-off=max(K-S(T),0)

It is usually quite straight forward to obtain the value of European options. In the Black-Scholes case we have the famous Black-Scholes formula. For more general models it is possible to obtain the value by Fourier methods.

It is usually quite straight forward to obtain the value of European options. In the Black-Scholes case we have the famous Black-Scholes formula. For more general models it is possible to obtain the value by Fourier methods.

Questions: Magnus Wiktorsson

Last update: 2010 Jan 05 17:22:43. Validate: HTML CSS

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