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Options Pricing Model
The most prominent is the Black-Scholes model (developed by Fisher Black and Myron Scholes in 1973). The model itself is extremely complex. It breaks the price into several components:
- Delta - change in the option price versus a
change in the underlying security. Out-the-money option has lover
delta then at-the money.
- Gamma - the rate of change Delta. Gamma is a
measure of the calculated delta's sensitivity to small changes in
share price.
- Vega - percentage of the change in volatility. It
shows how sensitive is the price to the changes in the volatility
- Theta - mathematical expression how much value is lost each day. The closer to expiration the less time value of the option.
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Since 1973, the Black-Scholes Pricing Model has been
the subject of much attention. Many financial scholars have expanded
upon the original work.
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