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Tag: closed-form
5 items with this tag.
Sep 12, 2026
3.3.3 The European Pricing Formulas (Closed Forms, Dividends, FX, Futures)
pillar-derivative-pricing
black-scholes-merton
closed-form
put-call-parity
black-76
Sep 12, 2026
3.6.3 Analytic Approximations
pillar-derivative-pricing
american-options
barone-adesi-whaley
bjerksund-stensland
perpetual-options
closed-form
Sep 12, 2026
6.2.3 The Avellaneda–Stoikov Model
pillar-market-making
avellaneda-stoikov-and-optimal-quoting
closed-form
optimal-spread
reservation-price
Sep 12, 2026
6.3.3 The Ho–Stoll Dealer Model
pillar-market-making
inventory-management-and-quote-skewing
ho-stoll
reservation-price
closed-form
Sep 12, 2026
6.10.3 The Duffie–Gârleanu–Pedersen Search-and-Bargaining Model
pillar-market-making
dealer-banks-and-otc
search-and-bargaining
dgp-model
closed-form