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Black–Scholes–Merton Model for Option Pricing

In: Financial Mathematics, Derivatives and Structured Products

Author

Listed:
  • Raymond H. Chan

    (City University of Hong Kong)

  • Yves ZY. Guo

    (BNP Paribas CIB)

  • Spike T. Lee

    (The Chinese University of Hong Kong)

  • Xun Li

    (The Hong Kong Polytechnic University)

Abstract

In this chapter, we start off the discussion of option pricing or derivatives modelling with the pioneering work by Black, Scholes and Merton who proposed the first hedging (replication) framework in 1973. Their work laid the foundation for the rapid growth of derivative products. In recognition of their contributions, Scholes and Merton received the 1997 Nobel Prize in Economics.

Suggested Citation

  • Raymond H. Chan & Yves ZY. Guo & Spike T. Lee & Xun Li, 2024. "Black–Scholes–Merton Model for Option Pricing," Springer Books, in: Financial Mathematics, Derivatives and Structured Products, edition 2, chapter 0, pages 155-171, Springer.
    • Handle: RePEc:spr:sprchp:978-981-99-9534-9_14
    DOI: 10.1007/978-981-99-9534-9_14
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