Statements (51)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:logic
|
| gptkbp:alsoKnownAs |
gptkb:Black–Scholes–Merton_model
|
| gptkbp:appliesTo |
gptkb:European_options
|
| gptkbp:assumes |
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 |
| gptkbp:category |
quantitative finance
financial mathematics option pricing models |
| gptkbp:compatibleWith |
American options (without modification)
|
| gptkbp:field |
finance
mathematical finance |
| gptkbp:form |
gptkb:stochastic_process
gptkb:Ito's_lemma volatility risk-free interest rate stock price strike price time to maturity |
| gptkbp:formedBy |
gptkb:Robert_C._Merton
gptkb:Myron_Scholes gptkb:Fischer_Black |
| https://www.w3.org/2000/01/rdf-schema#label |
Black–Scholes model
|
| gptkbp:influenced |
risk management
hedging strategies modern financial derivatives markets |
| gptkbp:NobelPrizeYear |
gptkb:Robert_C._Merton
gptkb:Economic_Sciences gptkb:Myron_Scholes 1997 |
| gptkbp:publicationYear |
1973
|
| gptkbp:publishedIn |
gptkb:Journal_of_Political_Economy
|
| gptkbp:relatedTo |
gptkb:Greeks_(finance)
gptkb:Black–Scholes_equation binomial options pricing model |
| gptkbp:solvedBy |
partial differential equations
closed-form solution |
| gptkbp:usedFor |
option pricing
derivative pricing |
| gptkbp:bfsParent |
gptkb:Black–Scholes_formula
gptkb:Black–Scholes_model_with_dividends |
| gptkbp:bfsLayer |
7
|