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gptkbp:instanceOf
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gptkb:logic
gptkb:financial_technology
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gptkbp:alternativeName
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gptkb:Black-Scholes-Merton_model
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gptkbp:application
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risk management
hedging strategies
valuation of derivatives
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gptkbp:assumes
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gptkb:European_options
constant risk-free interest rate
constant volatility
frictionless markets
lognormal distribution of stock prices
no arbitrage
no dividends
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gptkbp:basisFor
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gptkb:Black-Scholes_equation
gptkb:Black-Scholes_formula
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gptkbp:category
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financial mathematics
derivatives pricing
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gptkbp:field
|
finance
mathematical finance
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gptkbp:form
|
Brownian motion
partial differential equations
stochastic differential equations
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gptkbp:formedBy
|
gptkb:Robert_C._Merton
gptkb:Myron_Scholes
gptkb:Fischer_Black
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|
https://www.w3.org/2000/01/rdf-schema#label
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Black-Scholes model
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gptkbp:influenced
|
modern quantitative finance
|
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gptkbp:influencedBy
|
gptkb:Louis_Bachelier
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gptkbp:inspiredBy
|
binomial options pricing model
stochastic volatility models
local volatility models
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gptkbp:introducedIn
|
1973
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gptkbp:limitation
|
assumes constant volatility
assumes continuous trading
assumes no early exercise
assumes no transaction costs
market crashes not modeled
not suitable for American options
not suitable for options with dividends
|
|
gptkbp:NobelPrizeYear
|
gptkb:Robert_C._Merton
gptkb:Myron_Scholes
|
|
gptkbp:publishedIn
|
gptkb:Journal_of_Political_Economy
|
|
gptkbp:relatedTo
|
gptkb:Itô_calculus
gptkb:stochastic_process
gptkb:Black-Scholes-Merton_model
gptkb:option_Greeks
|
|
gptkbp:usedFor
|
option pricing
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gptkbp:bfsParent
|
gptkb:Myron_Scholes
gptkb:Fischer_Black
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gptkbp:bfsLayer
|
5
|