Black-Scholes option-pricing model

Black-Scholes option-pricing model
A model for pricing call options based on arbitrage arguments that uses the stock price, the exercise price, the risk-free interest rate, the time to expiration, and the standard deviation of the stock return. The New York Times Financial Glossary
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A model for pricing call options based on arbitrage arguments. Uses the stock price, the exercise price, the risk-free interest rate, the time to expiration, and the expected standard deviation of the stock return. Developed by Fischer Black and Myron Scholes in 1973. Bloomberg Financial Dictionary

Financial and business terms. 2012.

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  • Black-Scholes option pricing model — A model for pricing call options based on arbitrage arguments. Uses the stock price, the exercise price, the risk free interest rate, the time to expiration, and the expected standard deviation of the stock return. Developed by Fischer Black and… …   Financial and business terms

  • Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European …   Wikipedia

  • Binomial Option Pricing Model — An options valuation method developed by Cox, et al, in 1979. The binomial option pricing model uses an iterative procedure, allowing for the specification of nodes, or points in time, during the time span between the valuation date and the… …   Investment dictionary

  • Gamma Pricing Model — An equation for determining the fair market value of a European style option when the price movement on the underlying asset does not resemble a normal distribution. The gamma pricing model is intended to price options where the underlying asset… …   Investment dictionary

  • the Black-Scholes model — UK US noun [S] (also the Black Scholes option pricing model) FINANCE, STOCK MARKET ► a mathematical method of calculating whether an option (= the right to buy shares within a particular period of time) has a fair value, based on the price of… …   Financial and business terms

  • Black-Scholes model — A financial option pricing model to calculate the expected value of share based payments using variables such as dividend yield, exercise period, exercise price, market price, risk free rate of return and share price volatility. The model assumes …   Law dictionary

  • Black Scholes — The name of a theoretical option pricing model in widespread use in the market place. Named after Fischer Black and Myron Scholes who first developed the model. Dresdner Kleinwort Wasserstein financial glossary …   Financial and business terms

  • model — mod‧el [ˈmɒdl ǁ ˈmɑːdl] noun 1. [countable] a particular type or design of a vehicle or machine: • the cheapest model in the Volkswagen range • Our photocopier is the latest model. see also brand1, make2 …   Financial and business terms

  • Black model — The Black model (sometimes known as the Black 76 model) is a variant of the Black Scholes option pricing model. Its primary applications are for pricing bond options, interest rate caps / floors, and swaptions. It was first presented in a paper… …   Wikipedia

  • Black-Scholes — Das Black Scholes Modell ist ein finanzmathematisches Modell zur Bewertung von Finanzoptionen, das von Fischer Black und Myron Samuel Scholes 1973 (nach zweimaliger Ablehnung durch renommierte Zeitschriften) veröffentlicht wurde und als ein… …   Deutsch Wikipedia

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