Black Scholes option pricing model: Difference between revisions
From ACT Wiki
Jump to navigationJump to search
imported>Doug Williamson m (Layout.) |
imported>Doug Williamson m (Categorise.) |
||
Line 11: | Line 11: | ||
* [[Risk-free rate of return]] | * [[Risk-free rate of return]] | ||
* [[Binomial option pricing model]] | * [[Binomial option pricing model]] | ||
[[Category:Corporate_financial_management]] | |||
[[Category:Financial_risk_management]] |
Revision as of 11:00, 21 February 2018
(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.