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The Black Scholes Merton Model

In: Continuous-Time Asset Pricing Theory

Author

Listed:
  • Robert A. Jarrow

    (Cornell University)

Abstract

This chapter presents the seminal Black-Scholes-Merton (BSM) model for pricing options. Since this chapter is a special case of the material contained in Sect. 2.8 in Chap. 2 , the presentation will be brief. In addition, as an application of the BSM model, Merton’s structural models for credit risk is included herein.

Suggested Citation

  • Robert A. Jarrow, 2021. "The Black Scholes Merton Model," Springer Finance, in: Continuous-Time Asset Pricing Theory, edition 2, chapter 0, pages 109-118, Springer.
    • Handle: RePEc:spr:sprfcp:978-3-030-74410-6_5
    DOI: 10.1007/978-3-030-74410-6_5
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    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G1 - Financial Economics - - General Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G2 - Financial Economics - - Financial Institutions and Services
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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