1. http://pluto.huji.ac.il/~mswiener/zvi.html 972-2-588-3049 FRM Zvi Wiener Following P. Jorion, Financial Risk Manager Handbook Financial Risk Management

2. http://pluto.huji.ac.il/~mswiener/zvi.html 972-2-588-3049 FRM Chapter 6 Options Following P. Jorion 2001 Financial Risk Manager Handbook

3. Ch. 6, HandbookZvi Wiener slide 3 Assumptions of BS The underlying price moves continuously Interest rates are known and constant The variance of returns is constant Perfect capital markets no transaction costs short sales are allowed markets operate continuously price taking

4. Ch. 6, HandbookZvi Wiener slide 4

5. Ch. 6, HandbookZvi Wiener slide 5 Exchange Option (Margrabe 78) r should be replaced by the difference of yields of the two assets.