Black Scholes Model

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Black Scholes Model

A model for mathematically pricing options. The model takes into account the strike price, the time until the expiration date, the price of the underlying asset, and the standard deviation of the underlying asset's return. The model assumes that the option can only be exercised on the expiration date, that it will provide a risk-free return, and that the volatility of the underlying asset will remain constant throughout the life of the contract. The calculation is slightly different for calls and puts. See also: Option Adjusted Spread, Option Pricing Curve.
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By incorporating clear verbiage, clever vignettes and to-the-point explanations complete with interesting historical references, Pricing the Future makes for a fascinating account of not only the Black-Scholes option pricing model, but of modern finance in general.
The Fischer Black Prize is awarded biannually to a financial economist under age 40 for a body of original research that is relevant to finance practice as exemplified by the research of the late Fischer Black, the co-author of the seminal Black-Scholes option pricing model and other highly original contributions.
The excellent appendix that describes the Black-Scholes Option Pricing Model can be found at http://highered.
It examines volatility and the Black-Scholes option pricing model.
While the well known Black-Scholes option pricing model has been shown to provide good estimations of option prices overall (See Black and Scholes, 1972, Galai 1977 and 1978), Macbeth and Merville (1979) and Rubenstein (1985) show that the Black and Scholes model miss prices deep out of the money options.
A Discussion on Embedding the Black-Scholes Option Pricing Model in a Quantum Physics Setting, Physica A 304 (3-4), 507-524 (2002).
That single keyword spewed forth dozens of Web sites with details about the Black-Scholes Option Pricing Model, the criteria for marital property and equitable distribution in your state, and a number of precedent-setting family law cases.
98-34 is based on the Black-Scholes option pricing model,(6) which takes into account both an option's intrinsic value and the value derived from the potential appreciation of the underlying stock.
The assumptions underlying the Black-Scholes option pricing model are quite restrictive but nevertheless yield a very useful and widely accepted formula for pricing short-term options on assets or indices that do not vary much with interest rates.
446-3(e)(3)(iii) implies that allocations based on the Black-Scholes option pricing model will reflect the economic substance of contracts providing for nonperiodic payments.
4 million, determined using the Black-Scholes option pricing model.