Black–Scholes–Merton Model for Option Pricing

Raymond H. Chan, Yves ZY. Guo, Spike T. Lee and Xun Li
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Raymond H. Chan: City University of Hong Kong
Yves ZY. Guo: BNP Paribas CIB
Spike T. Lee: The Chinese University of Hong Kong
Xun Li: The Hong Kong Polytechnic University

Chapter Chapter 14 in Financial Mathematics, Derivatives and Structured Products, 2024, pp 155-171 from Springer

Abstract: Abstract In this chapter, we start off the discussion of option pricing or derivatives modelling with the pioneering work by Black, Scholes and Merton who proposed the first hedging (replication) framework in 1973. Their work laid the foundation for the rapid growth of derivative products. In recognition of their contributions, Scholes and Merton received the 1997 Nobel Prize in Economics.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-99-9534-9_14

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DOI: 10.1007/978-981-99-9534-9_14

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