Black–Scholes model

Known as: Midas formula, Black-Scholes pricing formula, Midas (disambiguation) 
The Black–Scholes /ˌblæk ˈʃoʊlz/ or Black–Scholes–Merton model is a mathematical model of a financial market containing derivative investment… (More)
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Black modelBrownian model of financial marketsDatar–Mathews method for real option valuationEquation solving
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Papers overview

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2018
2018
Pricing of basket options in subdiffusive fractional Black – Scholes model
In this paper we generalize the classical multidimensional Black-Scholes model to the subdiffusive case. In the studied model the… (More)
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2014
2014
Black-Scholes model under Arithmetic Brownian Motion
  • Marek Kolman
  • 2014
Usually, in the Black-Scholes world, it is assumed that a stock follows a Geometric Brownian motion. The aim of our research is… (More)
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2011
2011
Optimal Portfolio and Consumption in Modified Black-Scholes Model
  • Zhefei He
  • Fourth International Conference on Business…
  • 2011
The optimal stochastic control is a hot topic among recent problems in economics and finance. In fact, many economical and… (More)
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2010
2010
THE BLACK-SCHOLES MODEL AND EXTENSIONS
This paper will derive the Black-Scholes pricing model of a European option by calculating the expected value of the option. We… (More)
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2010
2010
B No 5 CALIBRATION OF THE SUBDIFFUSIVE BLACK – SCHOLES MODEL ∗
In this paper we discuss subdiffusive mechanism for the description of some stock markets. We analyse the fractional Black… (More)
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2002
2002
Option Pricing in a Black-Scholes Model with Markov Switching
The theory of option pricing in Markov volatility models has been developed in recent years. However, an efficient method to… (More)
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Highly Cited
2002
Highly Cited
2002
A Jump-Diffusion Model for Option Pricing
Brownian motion and normal distribution have been widely used in the Black–Scholes option-pricing framework to model the return… (More)
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2001
2001
THE BINOMIAL BLACK – SCHOLES MODEL AND THE GREEKS
This article returns to the choice of method for calculating option hedge ratios discussed by Pelsser and Vorst (1994). Where… (More)
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Highly Cited
1998
Highly Cited
1998
ROBUSTNESS OF THE BLACK AND SCHOLES FORMULA
Consider an option on a stock whose volatility is unknown and stochastic. An agent assumes this volatility to be a specific… (More)
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Highly Cited
1998
Highly Cited
1998
Option pricing with transaction costs and a nonlinear Black-Scholes equation
In a market with transaction costs, generally, there is no nontrivial portfolio that dominates a contingent claim. Therefore, in… (More)
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