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Full-Text Articles in Finance and Financial Management
Getting More Out Of Two Asset Portfolios, Tom Arnold, Terry D. Nixon
Getting More Out Of Two Asset Portfolios, Tom Arnold, Terry D. Nixon
Finance Faculty Publications
Two-asset portfolio mathematics is a fixture in many introductory finance and investment courses. However, the actual development of the efficient frontier and capital market line are generally left to a heuristic discussion with diagrams. In this article, the mathematics for calculating these attributes of two-asset portfolios are introduced in a framework intended for the undergraduate classroom.
Intuitive Black-Scholes Option Pricing With A Simple Table, Tom Arnold, Terry D. Nixon, Richard L. Shockley Jr.
Intuitive Black-Scholes Option Pricing With A Simple Table, Tom Arnold, Terry D. Nixon, Richard L. Shockley Jr.
Finance Faculty Publications
The Black-Scholes option pricing model (1973) can be intimidating for the novice. By rearranging and combining some of the variables, one can reduce the number of parameters in the valuation problem from five to two: 1) the option's moneyness ratio and 2) its time-adjusted volatility. This allows the computationally complex Black-Scholes formula to be collapsed into an easy-to-use table similar to those in some popular textbooks. The tabular approach provides an excellent tool for building intuition about the comparative statics in the Black-Scholes equation. Further, the pricing table can be used to price options on dividend-paying stocks, commodities, foreign exchange …