The Black–Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, ...

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

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 ...

Fraszka-Sobczyk, Emilia 2023. Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model. Acta Universitatis Lodziensis. Folia Oeconomica, Vol. 2, Issue.

and the Black & Scholes PDE are derived. A class of exotic options is then considered. In particular, pricing formulas for lookback and barrier options are derived using PDE techniques as well as the ...

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 ...

The course expands on PDE techniques for the pricing and hedging of several options. Implied volatilities as well as stochastic volatility models are then considered. The course also introduces the ...

Mathematical or quantitative model-based trading continues to gain momentum, despite major failures like the financial crisis of 2008-2009, which was attributed to the flawed use of trading models.

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 ...

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 ...