Abstract
The Black-Scholes formula is one of the most recognizable formulae in quantitative finance. The formula for the price C(S; ¿ ) of a European call option is given by:
where we use y as an abbreviation for
and b – r denotes the cost of carry b subtracted by the interest rate r.
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© 2010 Springer-Verlag Berlin Heidelberg
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Borak, S., Härdle, W.K., Cabrera, B.L. (2010). Black-Scholes Option Pricing Model. In: Statistics of Financial Markets. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-11134-1_6
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DOI: https://doi.org/10.1007/978-3-642-11134-1_6
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-11133-4
Online ISBN: 978-3-642-11134-1
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