Black–Scholes–Merton Model for Option Pricing
摘要
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.