The Black–Scholes /ˌblæk ˈʃoʊlz/ or Black–Scholes–Merton model is a mathematical model for the dynamics of a financial market containing derivative investment...

equation (PDE) governing the price evolution of derivatives under the Black–Scholes model. Broadly speaking, the term may refer to a similar PDE that can be...

The Black model (sometimes known as the Black-76 model) is a variant of the Black–Scholes option pricing model. Its primary applications are for pricing...

Myron Samuel Scholes (/ʃoʊlz/ SHOHLZ; born July 1, 1941) is a Canadian–American financial economist. Scholes is the Frank E. Buck Professor of Finance...

called "Normal Model" equivalently (as opposed to "Log-Normal Model" or "Black-Scholes Model"). One early criticism of the Bachelier model is that the probability...

0 , T ∗ ] {\displaystyle t\in [0,T^{*}]} . When dealing with the Black-Scholes model, we may equally well replace the savings account by the risk-free...

(lattice based) model of the varying price over time of the underlying financial instrument, addressing cases where the closed-form Black–Scholes formula is...

time t {\displaystyle t} . As such, it is a generalisation of the Black–Scholes model, where the volatility is a constant (i.e. a trivial function of S...

in particular, it is used in mathematical finance to model stock prices in the Black–Scholes model. A stochastic process St is said to follow a GBM if...

Stochastic volatility models are one approach to resolve a shortcoming of the Black–Scholes model. In particular, models based on Black-Scholes assume that the...