Black-scholes Model

The Black-Scholes Model is a mathematical framework in financial economics that belongs to the class of continuous-time option pricing models and is distinguished by its use of stochastic calculus to derive the theoretical price of European-style options based on assumptions of constant volatility, risk-free interest rates, and log-normal distribution of asset prices.

1.4K

Publications

98K

Citations

2.1K

Authors

1K

Institutions

Publications per year

2017–2026

222

Authors

2.1K

  1. DB
    Dilip B. Madan

    University of Maryland, College Park, United States

    15 publications · 3.2K citations

    14

    h-index

  2. PC
    Peter Carr

    New York University, United States

    15 publications · 2.9K citations

    13

    h-index

  3. MR
    Mark Rubinstein

    United States Naval Research Laboratory, United States

    10 publications · 3.1K citations

    10

    h-index

  4. NT
    Nizar Touzi

    École Polytechnique, France

    8 publications · 1.3K citations

    8

    h-index

  5. SP
    Stylianos Perrakis

    Concordia University, Canada

    7 publications · 349 citations

    7

    h-index

1–5 of 2.1K

Venues

  1. The Journal of Finance

    43 publications · 9.8K citations

    34

    h-index

  2. SSRN Electronic Journal

    Repository · 105 publications · 4K citations

    34

    h-index

  3. Quantitative Finance

    61 publications · 2.8K citations

    29

    h-index

  4. Mathematical Finance

    48 publications · 6.2K citations

    29

    h-index

  5. The Journal of Derivatives

    40 publications · 2.8K citations

    26

    h-index

1–5