ALL about Black-Scholes Model

Summary, forum, best practices, expert tips and resources.

All about Black-Scholes Model and other management methods. Completely free.

12manage is a knowledge sharing platform about management with over 1 million participants. Click for more info...

What is the Black-Scholes Model? Meaning.

Black-Scholes Model is a pricing model of financial instruments, and in particular stocks and options, derived by Fischer Black and Myron Scholes in 1973. It is based on arbitrage arguments that uses the stock price, the exercise price, the risk-free interest rate, the time to expiration, and the standard deviation (volatility) of the stock return.

The key assumptions of the model are:

The price of the underlying instrument is a geometric Brownian motion, in particular with constant drift and volatility.
It is possible to short sell the underlying stock.
There are no arbitrage opportunities.
Trading in the stock is continuous.
There are no transaction costs or taxes.
All securities are perfectly divisible (e.g. it is possible to buy 1/100th of a share).
The risk-free interest rate is constant, and the same for all maturity dates.

Black-Scholes Model Special Interest Group

Special Interest Group (42 members)

Forum about Black-Scholes Model

Discussions about Black-Scholes Model.

	Comparing 2 Mutual Funds using Standard Deviation How can standard deviation be used to compare the rate of return on two mutual funds? (...)

	Explanation of Black-Scholes Option Valuation Equation The main equation for the Black-Scholes Option Valuation is as follows: C = S.N(d1. - X.e-RT. N(d2. (12) where: C is (...)

🔥	NEW Problems with Using Standard Deviation Standard deviation is the most widely used measure of investment risk. It assumes all investors agree on the degree of r (...)

Best Practices about Black-Scholes Model

Here you find the most valuable discussions from the past.

Expert Tips about Black-Scholes Model

Here you will find advices by experts.

Information Sources about Black-Scholes Model

Here you will find powerpoints, videos, news, etc.

	Black-Scholes Option Valuation Black-Scholes Model, Put Valuation, Call Valuation, Option Valuation (...)

Compare with: CAPM | APT | European-Style Option

Special Interest Group Leader

You here? Sign up for free

This ends our Black-Scholes Model summary and forum.