Black Scholes option pricing model: Difference between revisions
From ACT Wiki
Jump to navigationJump to search
imported>Doug Williamson m (Added internal reference to Risk free rate of return.) |
imported>Doug Williamson m (Link with Binomial option pricing model page.) |
||
| Line 9: | Line 9: | ||
* [[Risk neutral valuation]] | * [[Risk neutral valuation]] | ||
* [[Risk free rate of return]] | * [[Risk free rate of return]] | ||
* [[Binomial option pricing model]] | |||
Revision as of 15:56, 23 May 2014
(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.
