Economists Fischer Black and Myron Scholes demonstrated in 1968 that a dynamic revision of a portfolio removes the expected return of the security, thus inventing the risk neutral … 展开

The notation used in the analysis of the Black-Scholes model is defined as follows (definitions grouped by subject):
General and market related:
$${\displaystyle t}$$ is a time in years; with $${\displaystyle t=0}$$ generally representing the present … 展开

The Black–Scholes formula calculates the price of European put and call options. This price is consistent with the Black–Scholes equation. … 展开

The above model can be extended for variable (but deterministic) rates and volatilities. The model may also be used to value European options on instruments paying dividends. In this case, closed-form solutions are available if the dividend is a known proportion of the … 展开

The Black–Scholes model assumes that the market consists of at least one risky asset, usually called the stock, and one riskless asset, usually called the money market, cash, or 展开

The Black–Scholes equation is a parabolic partial differential equation that describes the price $${\displaystyle V(S,t)}$$ of the option, where $${\displaystyle S}$$ is the price of the underlying and 展开

"The Greeks" measure the sensitivity of the value of a derivative product or a financial portfolio to changes in parameter values while holding the … 展开