BS
EUROPEAN OPTION PRICING MODEL
OPTION TYPE
T · YEARS
NOTIONAL
σ %
PAYOFF DIAGRAM
UNDERLYING PRICE (S) →OPTION VALUE ↑
TOTAL
·
INTERMEDIATES
CYLINDER · RISK REVERSAL
⚡ ZERO-COST STRIKE
RISK REVERSAL PAYOFF AT EXPIRY (incl. net cost)
FORMULAS