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Black-Scholes Model
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Black-Scholes Model

Creator
Creator
Seonglae ChoSeonglae Cho
Created
Created
2024 Mar 30 15:24
Editor
Editor
Seonglae ChoSeonglae Cho
Edited
Edited
2025 Jul 4 22:17
Refs
Refs
Fischer Black
SDE
A closed-form solution derived from solving the
Black–Scholes Equation
A European option pricing method utilizing
Brownian Motion
 
 
 
Black–Scholes model
The Black–Scholes /ˌblæk ˈʃoʊlz/[1] or Black–Scholes–Merton model is a mathematical model for the dynamics of a financial market containing derivative investment instruments. From the parabolic partial differential equation in the model, known as the Black–Scholes equation, one can deduce the Black–Scholes formula, which gives a theoretical estimate of the price of European-style options and shows that the option has a unique price given the risk of the security and its expected return (instead replacing the security's expected return with the risk-neutral rate). The equation and model are named after economists Fischer Black and Myron Scholes. Robert C. Merton, who first wrote an academic paper on the subject, is sometimes also credited.
Black–Scholes model
https://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model
 
 
 

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Black-Scholes Model
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