Black-Scholes-Merton model

URI: https://gptkb.org/entity/Black-Scholes-Merton_model
GPTKB entity
Statements (48)
Predicate Object
gptkbp:instanceOf gptkb:logic
gptkbp:alsoKnownAs gptkb:Black-Scholes_model
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:option_Greeks
risk management
hedging strategies
gptkbp:category mathematical finance
stochastic models
financial models
option pricing models
gptkbp:field finance
mathematical finance
financial engineering
gptkbp:form gptkb:Black-Scholes_formula
gptkbp:generalizes gptkb:Merton_jump-diffusion_model
gptkb:Heston_model
Black model
https://www.w3.org/2000/01/rdf-schema#label Black-Scholes-Merton model
gptkbp:influenced quantitative finance
modern financial theory
gptkbp:input volatility
risk-free interest rate
stock price
strike price
time to maturity
gptkbp:journalPublication gptkb:Journal_of_Political_Economy
gptkbp:namedAfter gptkb:Robert_C._Merton
gptkb:Myron_Scholes
gptkb:Fischer_Black
gptkbp:notablePublication gptkb:The_Pricing_of_Options_and_Corporate_Liabilities
gptkbp:output European call option price
European put option price
gptkbp:publishedIn 1973
gptkbp:relatedTo gptkb:stochastic_process
gptkb:geometric_Brownian_motion
gptkb:Ito's_lemma
Brownian motion
partial differential equations
gptkbp:usedFor option pricing
derivative pricing
gptkbp:bfsParent gptkb:Black-Scholes_model
gptkbp:bfsLayer 6