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  2. Black–Scholes model - Wikipedia

    en.wikipedia.org/wiki/BlackScholes_model

    In fact, the BlackScholes formula for the price of a vanilla call option (or put option) can be interpreted by decomposing a call option into an asset-or-nothing call option minus a cash-or-nothing call option, and similarly for a put—the binary options are easier to analyze, and correspond to the two terms in the BlackScholes formula.

  3. Black–Scholes equation - Wikipedia

    en.wikipedia.org/wiki/BlackScholes_equation

    In mathematical finance, the BlackScholes equation, also called the BlackScholes–Merton equation, is a partial differential equation (PDE) governing the price evolution of derivatives under the BlackScholes model. [1]

  4. Foreign exchange option - Wikipedia

    en.wikipedia.org/wiki/Foreign_exchange_option

    As in the BlackScholes model for stock options and the Black model for certain interest rate options, the value of a European option on an FX rate is typically calculated by assuming that the rate follows a log-normal process. [3] The earliest currency options pricing model was published by Biger and Hull, (Financial Management, spring 1983).

  5. The Most Valuable Formula Ever Created - AOL

    www.aol.com/news/2013-05-09-the-most-valuable...

    The Black-Scholes option-pricing model, first published in 1973 in a paper titled "The Pricing of Options and Corporate Liabilities," was delivered in complete form for publication to.

  6. Moneyness - Wikipedia

    en.wikipedia.org/wiki/Moneyness

    While moneyness is a function of both spot and strike, usually one of these is fixed, and the other varies. Given a specific option, the strike is fixed, and different spots yield the moneyness of that option at different market prices; this is useful in option pricing and understanding the BlackScholes formula.

  7. Black's approximation - Wikipedia

    en.wikipedia.org/wiki/Black's_approximation

    In finance, Black's approximation is an approximate method for computing the value of an American call option on a stock paying a single dividend. It was described by Fischer Black in 1975. [1] The BlackScholes formula (hereinafter, "BS Formula") provides an explicit equation for the value of a call option on a non-dividend paying stock. In ...

  8. Black model - Wikipedia

    en.wikipedia.org/wiki/Black_model

    The Black formula is similar to the BlackScholes formula for valuing stock options except that the spot price of the underlying is replaced by a discounted futures price F. Suppose there is constant risk-free interest rate r and the futures price F(t) of a particular underlying is log-normal with constant volatility σ.

  9. Valuation of options - Wikipedia

    en.wikipedia.org/wiki/Valuation_of_options

    The Black model extends Black-Scholes from equity to options on futures, bond options, swaptions, (i.e. options on swaps), and interest rate cap and floors (effectively options on the interest rate). The final four are numerical methods, usually requiring sophisticated derivatives-software, or a numeric package such as MATLAB.