Black Scholes option pricing model: Difference between revisions
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The Black Scholes option pricing model is an example of a risk-neutral valuation model. It models the value of European-style options on non-dividend paying assets, based on the underlying price, the strike price, the underlying volatility, the time to expiry and the risk-free rate of return. | The Black Scholes option pricing model is an example of a risk-neutral valuation model. | ||
It models the value of European-style options on non-dividend paying assets, based on the underlying price, the strike price, the underlying volatility, the time to expiry and the risk-free rate of return. | |||
== See also == | == See also == | ||
* [[Binomial option pricing model]] (BOPM) | |||
* [[European-style option]] | * [[European-style option]] | ||
* [[Leptokurtosis]] | * [[Leptokurtosis]] | ||
* [[Model]] | |||
* [[Option]] | * [[Option]] | ||
* [[Risk neutral valuation]] | * [[Risk neutral valuation]] | ||
* [[Risk-free rate of return]] | |||
[[Category:Corporate_financial_management]] | |||
[[Category:Financial_risk_management]] | |||
Latest revision as of 15:51, 12 July 2024
(BSOPM).
The Black Scholes option pricing model is an example of a risk-neutral valuation model.
It models the value of European-style options on non-dividend paying assets, based on the underlying price, the strike price, the underlying volatility, the time to expiry and the risk-free rate of return.
