Black–Scholes model with dividends
GPTKB entity
Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:financial_technology
|
| gptkbp:accountsFor |
continuous dividend yield
discrete dividends |
| gptkbp:appliesTo |
gptkb:European_options
|
| gptkbp:assumes |
constant volatility
frictionless markets no arbitrage continuous trading constant risk-free rate lognormal stock price distribution |
| gptkbp:basedOn |
gptkb:Black–Scholes_model
|
| gptkbp:category |
mathematical finance
derivatives pricing |
| gptkbp:formulaModification |
adjusted risk-free rate
adjusted stock price |
| https://www.w3.org/2000/01/rdf-schema#label |
Black–Scholes model with dividends
|
| gptkbp:introduced |
gptkb:Robert_C._Merton
|
| gptkbp:introducedIn |
1973
|
| gptkbp:relatedTo |
gptkb:Black–Scholes_formula
gptkb:Merton_model |
| gptkbp:usedFor |
option pricing
|
| gptkbp:bfsParent |
gptkb:Black–Scholes–Merton_model
|
| gptkbp:bfsLayer |
6
|