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INVESTING EXPLAINED: What you need to know about Black-Scholes - an equation used by hedge funds to estimate the value of a derivative

The Black-Scholes model – its full name is the Black-Scholes-Merton model – is an equation widely used by hedge funds and others to estimate the value of a derivative – a security that ... read more

The Formula That Shook The World

Derived by economists Myron Scholes, Robert Merton, and the late Fischer Black, the Black-Scholes Formula is a way to determine how much a call option is worth at any given time. The economist Zvi ... read more

Expected Return: Formula, How It Works, Limitations, Example

When considering individual investments or portfolios, a more formal equation for the expected ... of modern portfolio theory (MPT) or the Black-Scholes options pricing model. read more

How Implied Volatility (IV) Works With Options and Examples

The Options Industry Council. "Black-Scholes Formula." The Options Industry Council. "Exercising Options." Professor Aswath Damodaran, Stern School of Business at New York University. "Chapter 5 ... read more

Understanding Option Pricing

risk-free interest rate The Black-Scholes option pricing model does not account for dividends. In the case of dividend-paying stocks, the pricing formula is adjusted to account for these payouts. read more

Myron S. Scholes

In the early 1970s, Scholes and Black created a formula to get the present value of an option. We came to the conclusion that one could value an option without really knowing what the expected return ... read more

Introduction to Pricing, Hedging and Optimization

General discrete-time models and the FTAP. • Passage to continuous time Black & Scholes model; formal Ito calculus. • Option-pricing with PDE methods, the Black & Scholes formula and Greeks; ... read more

Robert C. Merton

He was a special kid. It’s no surprise, he went on to become one of the most influential researchers in financial economics, expanding the Black-Scholes formula, which contributed to the rapid ... read more

A Course in Financial Calculus

The Black-Scholes pricing formula is first derived in the simplest financial context. Subsequent chapters are devoted to increasing the financial sophistication of the models and instruments. The ... read more

Mathematics of Finance and Valuation

Construction of the Ito integral: simple integrands, Ito's isometry. Ito processes, Ito's formula, stochastic differential equations, Girsanov's theorem. Black-Scholes model: self-financing portfolios ... read more

Statistics with Financial Mathematics

It's based on our Statistics MSc course, but also includes key financial topics such as the Capital Asset Pricing Model, the Black-Scholes option pricing formula and stochastic processes. You’ll also ... read more

MAS61017 Financial Mathematics (15 credits)

The discovery of the Capital Asset Pricing Model by William Sharpe in the 1960's and the Black-Scholes option pricing formula a decade later mark the beginning of a very fruitful interaction between ... read more