This case introduces students to the concepts of valuation of options and asks them to estimate option prices using the Black-Scholes model. It illustrates the importance of volatility for option valuation and allows the introduction of the concept of implied volatility. The case is used most effectively in the row with “Ito Delight” (UVA-F-1333) to implement option pricing concepts. Various versions of this curriculum have been successfully used aud both MBA and executive education … Read more »

This case introduces students to the concepts of valuation of options and asks them to estimate option prices using the Black-Scholes model. It illustrates the importance of volatility for option valuation and allows the introduction of the concept of implied volatility. The case is used most effectively in the row with “Ito Delight” (UVA-F-1333) to implement option pricing concepts. Various versions of this curriculum have been used successfully for both MBA and executive education audiences.
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Kenneth Eades
Source: Darden School of Business
3 pages.
Publication Date: Jul 13, 2001. Prod #: UV2481-PDF-ENG
Ito’s dilemma HBR case solution