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gptkbp:instanceOf
|
gptkb:logic
gptkb:financial_technology
|
|
gptkbp:alternativeName
|
gptkb:Black-Scholes-Merton_model
|
|
gptkbp:appliesTo
|
gptkb:European_call_option
gptkb:European_put_option
|
|
gptkbp:assumes
|
gptkb:European_options
constant volatility
lognormal distribution of stock prices
no dividends
no transaction costs
constant risk-free rate
|
|
gptkbp:basisFor
|
gptkb:option_Greeks
financial engineering
Monte Carlo methods in finance
binomial options pricing model
delta hedging
risk-neutral valuation
hedging strategies
implied volatility
dynamic replication
exotic options pricing
|
|
gptkbp:category
|
gptkb:mathematics
economics
finance
|
|
gptkbp:compatibleWith
|
gptkb:American_options
path-dependent options
|
|
gptkbp:developedBy
|
gptkb:Robert_C._Merton
gptkb:Myron_Scholes
gptkb:Fischer_Black
|
|
gptkbp:form
|
gptkb:stochastic_process
gptkb:Ito's_lemma
|
|
https://www.w3.org/2000/01/rdf-schema#label
|
Black-Scholes Model
|
|
gptkbp:influenced
|
quantitative finance
modern financial derivatives
|
|
gptkbp:influencedBy
|
gptkb:Louis_Bachelier
|
|
gptkbp:introducedIn
|
1973
|
|
gptkbp:NobelPrizeYear
|
gptkb:Robert_C._Merton
gptkb:Myron_Scholes
|
|
gptkbp:output
|
option price
|
|
gptkbp:parameter
|
volatility
risk-free interest rate
stock price
strike price
time to maturity
|
|
gptkbp:publishedIn
|
gptkb:Journal_of_Political_Economy
|
|
gptkbp:relatedTo
|
gptkb:Greeks_(finance)
gptkb:Black-Scholes_equation
gptkb:Black-Scholes_formula
|
|
gptkbp:usedFor
|
option pricing
|
|
gptkbp:bfsParent
|
gptkb:Asset_Pricing
gptkb:Options_Contract
gptkb:Derivatives_Instruments
|
|
gptkbp:bfsLayer
|
7
|