The difference between the stock price and the exercise price is the "payoff" to the call option. The Black-Scholes Formula was derived by observing that an investor can precisely replicate the ...

Option pricing may seem complicated at first, as contract values are derived from a few different factors. Specifically, option premiums are based on the Nobel Prize-winning Black-Scholes model ...

Black, Fischer, Michael C. Jensen, and Myron Scholes. "The Capital Asset Pricing Model: Some Empirical Tests." In Studies in the Theory of Capital Markets, edited by ...

Since developing the Black-Scholes-option pricing model with his good friend Fischer Black and co-laureate Robert Merton, Myron Scholes has become one of the leaders in financial economics. But this ...

Perold, Andre F. "Black-Scholes Option Pricing Program for the HP 12C Calculator." Harvard Business School Background Note 285-057, November 1984.

In the context of the binomial tree model for a risky asset ... measure of the corresponding discounted payoffs, pricing formulae for European put and call options, and the Black & Scholes PDE are ...

models of price dynamics, binomial model, introduction to Black-Scholes theory and Monte Carlo simulation. Course will include homework, projects, and guest speakers. This course is an IE/OR elective ...

This Master course gives an introduction to financial mathematics in continuous time. Starting with the famous Black-Scholes Model the basic principles for pricing derivatives in financial markets are ...

Merton is well known for his continuous-time finance contribution that led to the Black-Scholes-Merton model in derivative pricing. Together with Myron Scholes, Merton won the Nobel Prize for this ...