How Good is Black–Scholes–Merton, Really?

P. Wilmott

Chapter 2 in Options — 45 Years since the Publication of the Black–Scholes–Merton Model:The Gershon Fintech Center Conference, 2023, pp 17-27 from World Scientific Publishing Co. Pte. Ltd.

Abstract: I consider the Black–Scholes–Merton option-pricing model from several angles, including personal, technical and, most importantly, from the perspective of a paradigm-shifting mathematical formula.

Keywords: Options; Call; Put; Stock; Equity; Bond; Debt; Dividend; Investment; Diversification; Volatility; Black–Scholes; Merton Model; Stochastic; Swap; Commodity; Index; Contingent Claims; Exotic Option (search for similar items in EconPapers)
JEL-codes: C C02 G1 G11 G12 G15 (search for similar items in EconPapers)
Date: 2023
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