Concepedia

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

Variants

Black-scholesBlack-scholes-merton ModelBsm Model

Parents

Publications

1.4K

Option pricing when underlying stock returns are discontinuous

Robert C. Merton · Journal of Financial Economics · 1976 · 6.1K citations · Full text

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Theory of Financial Decision Making.

Eduardo S. Schwartz, Jonathan E. Ingersoll · The Journal of Finance · 1988 · 1.9K citations

, , +17

The Variance Gamma Process and Option Pricing

Dilip B. Madan, Peter Carr, Eric C. Chang · European Finance Review · 1998 · 1.9K citations

, , +17

The Valuation of Uncertain Income Streams and the Pricing of Options

Mark Rubinstein · The Bell Journal of Economics · 1976 · 1.7K citations

, , +17

A general version of the fundamental theorem of asset pricing

Freddy Delbaen, Walter Schachermayer · Mathematische Annalen · 1994 · 1.5K citations

, , +13

1–5 of 1.4K

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

Institutions

1K

  1. New York University

    New York, United States

    24 h-index

    41 publications

    2.9K citations

  2. Columbia University

    New York, United States

    17 h-index

    28 publications

    2.2K citations

  3. University of Maryland, College Park

    College Park, United States

    16 h-index

    18 publications

    4.3K citations

  4. Stanford University

    Stanford, United States

    14 h-index

    16 publications

    1.5K citations

  5. ETH Zurich

    Zurich, Switzerland

    14 h-index

    30 publications

    2.6K citations

  6. National Bureau of Economic Research

    Cambridge, United States

    14 h-index

    21 publications

    1K citations

  7. University of Vienna

    Vienna, Austria

    13 h-index

    16 publications

    3.5K citations

  8. Cornell University

    Ithaca, United States

    13 h-index

    21 publications

    2.4K citations

1–8 of 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