Table of contents alert
Do you want to receive an email alert about new issue?


Volume 50, Issue 2


Black-Scholes Options Pricing Model

Slačálek, Jiří

Year: 2000   Volume: 50   Issue: 2   Pages: 78-98

Abstract: This paper deals with the most widespread model of options pricing, the Black-Scholes model. The model is derived in the usual way, by means of Ito?s lemma. The Black-Scholes partial differential equation is obtained under the assumption of geometric Brownian motion of the underlying stock. Several useful generalizations, including a brief overview of risk-neutral pricing, are discussed. The last section contains an empirical test of this model using daily data from the Chicago Board Options Exchange. The appendix gives a thumbnail sketch of the fundamental results of stochastic differential calculus.

JEL classification: G12

Keywords: Black-Scholes model, stochastic approach


RePEc: n/a

pdf Attachment [PDF] print Print   Recommend to others Recommend to others