Black-Scholes model
- Japanese
- ブラック・ショールズ・モデル
- Also known as
- Black-Scholes-Merton model
- Last reviewed
- September 25, 2026
This is a draft, shown for review before publication.
The Black-Scholes model is a valuation model that uses a formula to give the theoretical price of a European option, under assumptions such as the underlying price following geometric Brownian motion and constant volatility and interest rates. Fischer Black and Myron Scholes presented it in a paper in 1973.
Related terms
Explained in detail
Pages that use this term
- Introduction to Stochastic Calculus (Ito's Lemma)
- Digital Options
- Asian Options
- Lookback Options
- Basket Options
- Quanto Options
- FX Option Market Conventions
- FX Barrier Options
- Cliquets
- Autocallables
- No-Arbitrage and Replication
- Binomial Trees
- Risk-Neutral Valuation
- The Greeks
- Implied Volatility
- Volatility Smiles and Surfaces
- The Black and Bachelier Models
- Local Volatility Models
- The Heston Model
- Monte Carlo Simulation
- Finite Difference Methods
- Delta Hedging
- Managing Gamma and Vega
- Hedging Exotic Products
- Timeline: Black and Scholes publish an option pricing formula in a paper