Abstract
This chapter presents the seminal Black-Scholes-Merton (BSM) model for pricing options. Since this chapter is a special case of the material contained in Sect. 2.8 in Chap. 2, the presentation will be brief. In addition, as an application of the BSM model, Merton’s structural models for credit risk is included herein.
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Jarrow, R.A. (2021). The Black Scholes Merton Model. In: Continuous-Time Asset Pricing Theory. Springer Finance(). Springer, Cham. https://doi.org/10.1007/978-3-030-74410-6_5
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DOI: https://doi.org/10.1007/978-3-030-74410-6_5
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