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gptkbp:instanceOf
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gptkb:logic
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gptkbp:alsoKnownAs
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gptkb:Black–Scholes–Merton_model
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gptkbp:appliesTo
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gptkb:European_options
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gptkbp:assumes
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no taxes
constant risk-free interest rate
constant volatility
frictionless markets
lognormal distribution of stock prices
no arbitrage
no dividends
no transaction costs
continuous trading
liquid markets
borrowing and lending at risk-free rate
short selling allowed
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gptkbp:category
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quantitative finance
financial mathematics
option pricing models
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gptkbp:compatibleWith
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American options (without modification)
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gptkbp:field
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finance
mathematical finance
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gptkbp:form
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gptkb:stochastic_process
gptkb:Ito's_lemma
volatility
risk-free interest rate
stock price
strike price
time to maturity
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gptkbp:formedBy
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gptkb:Robert_C._Merton
gptkb:Myron_Scholes
gptkb:Fischer_Black
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gptkbp:influenced
|
risk management
hedging strategies
modern financial derivatives markets
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gptkbp:NobelPrizeYear
|
gptkb:Robert_C._Merton
gptkb:Economic_Sciences
gptkb:Myron_Scholes
1997
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gptkbp:publicationYear
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1973
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gptkbp:publishedIn
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gptkb:Journal_of_Political_Economy
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gptkbp:relatedTo
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gptkb:Greeks_(finance)
gptkb:Black–Scholes_equation
binomial options pricing model
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gptkbp:solvedBy
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gptkb:partial_differential_equations
closed-form solution
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gptkbp:usedFor
|
option pricing
derivative pricing
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gptkbp:bfsParent
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gptkb:Black–Scholes_formula
gptkb:Black–Scholes_model_with_dividends
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gptkbp:bfsLayer
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7
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https://www.w3.org/2000/01/rdf-schema#label
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Black–Scholes model
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