The Black Scholes Merton Model

Robert Jarrow ()

Chapter Chapter 5 in Continuous-Time Asset Pricing Theory, 2021, pp 109-118 from Springer

Abstract: Abstract This chapter presents the seminal Black-Scholes-Merton (BSM) model for pricing options. Since this chapter is a special case of the material contained in Sect. 2.8 in Chap. 2 , the presentation will be brief. In addition, as an application of the BSM model, Merton’s structural models for credit risk is included herein.

Date: 2021
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Chapter: The Black–Scholes–Merton Model (2024)
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DOI: 10.1007/978-3-030-74410-6_5

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