Finance & Investing · Derivatives
A topic within Derivatives, itself one of 11 topics in that field and part of Finance & Investing.
2 works
Robert C. Merton
Generalises the Black-Scholes option pricing framework, relaxing assumptions on dividends, interest rates and early exercise, and extends the same continuous-time replication logic to price corporate liabilities as options on firm value.
link checked 17 Sept 2026Fischer Black & Myron S. Scholes
Derives a closed-form formula for the price of a European option by constructing a continuously-rebalanced hedge that eliminates risk, showing an option's value depends on the underlying's volatility rather than its expected return.
link checked 17 Sept 2026