Rial, "A Black-Scholes option pricing model
with transaction costs," Journal of Mathematical Analysis and Applications, vol.
Option pricing theory has been an unprecedented development since the classic Black-Scholes option pricing model
 was proposed.
Wang, "Solution of the fractional Black-Scholes option pricing model
by finite difference method," Abstract and Applied Analysis, vol.
By incorporating clear verbiage, clever vignettes and to-the-point explanations complete with interesting historical references, Pricing the Future makes for a fascinating account of not only the Black-Scholes option pricing model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 Black-Scholes Option Pricing Model
is Used by the company to determine the fair value of options.
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.mcgraw-hill.com/sites/dl/free/0073041696 /315960/App_sau4170x_app10.pdf.
It examines volatility and the Black-Scholes option pricing model
Do you use the Black-Scholes Option Pricing Model
? Have you had to deal with option backdating?
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 mathematical extension of this process to a continuous time period with a wider distribution of outcomes is obtained with the Black-Scholes option pricing model
. While mathematically complex, the latter model is useful to examine what factors influence option value.
Hammer, 1989, "On Biases Reported in Studies of the Black-Scholes Option Pricing Model
", Journal of Economics and Business, 41:153-169