Statements (54)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:logic
gptkb:financial_technology |
| gptkbp:assumes |
constant risk-free interest rate
constant volatility frictionless markets lognormal distribution of stock prices no arbitrage no dividends |
| gptkbp:awarded |
gptkb:Nobel_Prize_in_Economic_Sciences_(1997,_Scholes_and_Merton)
|
| gptkbp:basisFor |
gptkb:Greeks_(finance)
option pricing theory exotic option pricing risk-neutral valuation |
| gptkbp:category |
quantitative finance
financial mathematics derivatives pricing |
| gptkbp:compatibleWith |
American options (without modification)
|
| gptkbp:field |
finance
mathematical finance |
| gptkbp:form |
gptkb:Black–Scholes_formula
|
| gptkbp:generalizes |
gptkb:American_option_pricing_models
gptkb:Black–Scholes_model_with_dividends gptkb:jump-diffusion_models stochastic volatility models |
| https://www.w3.org/2000/01/rdf-schema#label |
Black–Scholes–Merton model
|
| gptkbp:influenced |
modern financial engineering
|
| gptkbp:introducedIn |
1973
|
| gptkbp:limitation |
assumes constant volatility
assumes continuous trading assumes no dividends (original model) assumes no early exercise assumes no taxes assumes no transaction costs |
| gptkbp:namedAfter |
gptkb:Robert_C._Merton
gptkb:Myron_Scholes gptkb:Fischer_Black |
| gptkbp:notableFor |
gptkb:European_call_option
gptkb:European_put_option |
| gptkbp:publishedIn |
gptkb:Journal_of_Political_Economy
|
| gptkbp:relatedTo |
gptkb:Itô_calculus
gptkb:efficient_markets_hypothesis gptkb:stochastic_process partial differential equations Monte Carlo methods in finance binomial options pricing model delta hedging hedging martingale pricing portfolio replication risk-neutral measure |
| gptkbp:usedFor |
option pricing
derivative pricing |
| gptkbp:bfsParent |
gptkb:Robert_C._Merton
|
| gptkbp:bfsLayer |
5
|