Black–Scholes–Merton model

URI: https://gptkb.org/entity/Black–Scholes–Merton_model

GPTKB entity

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
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:partial_differential_equations gptkb:stochastic_process 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
https://www.w3.org/2000/01/rdf-schema#label	Black–Scholes–Merton model