Black-Scholes Model

An option-pricing model developed by Fischer Black, Myron Scholes, and Robert Merton for assessing the price of European options on stocks. The result is obtained by applying the Black-Scholes PDE to European put and call options (as it cannot be used in American style options). There are extensions of the model for dividend-paying stocks.

Literatur:

Bloss, Michael; Ernst, Dietmar; Häcker, Joachim: Derivatives, 283 Seiten, 2008
[Dieser Titel bei Oldenbourg]