The Black–Scholes–Merton Option Pricing Formula

George Constantinides

Chapter 9 in Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 139-150 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionThe BSM Model AssumptionsThe BSM Dynamic Trading StrategyThe BSM Pricing EquationEstimating the VolatilityOptions on Stocks with Known DividendsOptions on Stocks with Known Dividend YieldOptions on Currencies

Keywords: Futures; Forwards; Options; Corporate Securities; Derivatives; Hedging; Risk Management (search for similar items in EconPapers)
Date: 2015
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