Black–Scholes model (English Wikipedia)

Black, Fischer; Scholes, Myron (1973). "The Pricing of Options and Corporate Liabilities". Journal of Political Economy. 81 (3): 637–654. doi:10.1086/260062. S2CID 154552078.
Merton, Robert (1973). "Theory of Rational Option Pricing". Bell Journal of Economics and Management Science. 4 (1): 141–183. doi:10.2307/3003143. hdl:10338.dmlcz/135817. JSTOR 3003143.
Giovanni Barone-Adesi & Robert E Whaley (June 1987). "Efficient analytic approximation of American option values". Journal of Finance. 42 (2): 301–20. doi:10.2307/2328254. JSTOR 2328254.
Macbeth, James D.; Merville, Larry J. (December 1979). "An Empirical Examination of the Black-Scholes Call Option Pricing Model". The Journal of Finance. 34 (5): 1173–1186. doi:10.2307/2327242. JSTOR 2327242. With the lone exception of out of the money options with less than ninety days to expiration, the extent to which the B-S model underprices (overprices) an in the money (out of the money) option increases with the extent to which the option is in the money (out of the money), and decreases as the time to expiration decreases.
Nahin, Paul J. (2012). "In Pursuit of the Unknown: 17 Equations That Changed the World". Physics Today. Review. 65 (9): 52–53. Bibcode:2012PhT....65i..52N. doi:10.1063/PT.3.1720. ISSN 0031-9228.

ederman.com

Emanuel Derman and Nassim Taleb (2005). The illusions of dynamic replication Archived 2008-07-03 at the Wayback Machine, Quantitative Finance, Vol. 5, No. 4, August 2005, 323–326

edwardothorp.com

A Perspective on Quantitative Finance: Models for Beating the Market, Quantitative Finance Review, 2003. Also see Option Theory Part 1 by Edward Thorpe

global-derivatives.com

American options

goldseek.com

radio.goldseek.com

Bachelier, Louis (1900). Théorie de la Spéculation [Theory of Speculation] (PDF) (in French). Translated by May (Series 3, 17 ed.). France: Annales Scientifiques de l'École Normale Supérieure (published 2011). pp. 21–86.{{cite book}}: CS1 maint: date and year (link)

handle.net

hdl.handle.net

Merton, Robert (1973). "Theory of Rational Option Pricing". Bell Journal of Economics and Management Science. 4 (1): 141–183. doi:10.2307/3003143. hdl:10338.dmlcz/135817. JSTOR 3003143.

harvard.edu

ui.adsabs.harvard.edu

Nahin, Paul J. (2012). "In Pursuit of the Unknown: 17 Equations That Changed the World". Physics Today. Review. 65 (9): 52–53. Bibcode:2012PhT....65i..52N. doi:10.1063/PT.3.1720. ISSN 0031-9228.

intuition.com

Duncan, Felicity (22 July 2020). "The Great Switch – Negative Prices Are Forcing Traders To Change Their Derivatives Pricing Models". Intuition. Retrieved 2 April 2021.

jstor.org

Merton, Robert (1973). "Theory of Rational Option Pricing". Bell Journal of Economics and Management Science. 4 (1): 141–183. doi:10.2307/3003143. hdl:10338.dmlcz/135817. JSTOR 3003143.
Giovanni Barone-Adesi & Robert E Whaley (June 1987). "Efficient analytic approximation of American option values". Journal of Finance. 42 (2): 301–20. doi:10.2307/2328254. JSTOR 2328254.
Macbeth, James D.; Merville, Larry J. (December 1979). "An Empirical Examination of the Black-Scholes Call Option Pricing Model". The Journal of Finance. 34 (5): 1173–1186. doi:10.2307/2327242. JSTOR 2327242. With the lone exception of out of the money options with less than ninety days to expiration, the extent to which the B-S model underprices (overprices) an in the money (out of the money) option increases with the extent to which the option is in the money (out of the money), and decreases as the time to expiration decreases.

kalotay.com

Kalotay, Andrew (November 1995). "The Problem with Black, Scholes et al" (PDF). Derivatives Strategy.

lifelong-learners.com

André Jaun. "The Black–Scholes equation for American options". Retrieved May 5, 2012.

lsu.edu

bus.lsu.edu

Don Chance (2008). "Closed-Form American Call Option Pricing: Roll-Geske-Whaley" (PDF). Retrieved May 16, 2012.
Don Chance (2008). "Approximation Of American Option Values: Barone-Adesi-Whaley" (PDF). Retrieved June 25, 2012.

ltnielsen.com

Nielsen, Lars Tyge (1993). "Understanding N(d₁) and N(d₂): Risk-Adjusted Probabilities in the Black–Scholes Model" (PDF). LT Nielsen.

macroption.com

Houstecky, Petr. "Black-Scholes Model History and Key Papers". Macroption. Archived from the original on Jun 14, 2024. Retrieved Oct 3, 2024.

merriam-webster.com

"Scholes on merriam-webster.com". Retrieved March 26, 2012.

nobelprize.org

"The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 1997".
"Nobel Prize Foundation, 1997" (Press release). October 14, 1997. Retrieved March 26, 2012.

proquest.com

Samuelson, Paul (1965). "Rational Theory of Warrant Pricing". Industrial Management Review. 6 (2): 13–31 – via ProQuest.
Samuelson, Paul; Merton, Robert (1969). "A Complete Model of Warrant Pricing that Maximizes Utility". Industrial Management Review. 10 (2): 17–46 – via ProQuest.

psu.edu

citeseerx.ist.psu.edu

Don Chance (June 3, 2011). "Derivation and Interpretation of the Black–Scholes Model". CiteSeerX 10.1.1.363.2491.

repec.org

ideas.repec.org

Giovanni Barone-Adesi & Robert E Whaley (June 1987). "Efficient analytic approximation of American option values". Journal of Finance. 42 (2): 301–20. doi:10.2307/2328254. JSTOR 2328254.

semanticscholar.org

api.semanticscholar.org

Black, Fischer; Scholes, Myron (1973). "The Pricing of Options and Corporate Liabilities". Journal of Political Economy. 81 (3): 637–654. doi:10.1086/260062. S2CID 154552078.

ssrn.com

papers.ssrn.com

Yalincak, Hakan (2012). "Criticism of the Black–Scholes Model: But Why Is It Still Used? (The Answer is Simpler than the Formula". SSRN 2115141.

ssrn.com

Espen Gaarder Haug and Nassim Nicholas Taleb (2011). Option Traders Use (very) Sophisticated Heuristics, Never the Black–Scholes–Merton Formula. Journal of Economic Behavior and Organization, Vol. 77, No. 2, 2011

theguardian.com

Stewart, Ian (February 12, 2012). "The mathematical equation that caused the banks to crash". The Guardian. The Observer. ISSN 0029-7712. Retrieved April 29, 2020.

uchicago.edu

journals.uchicago.edu

Boness, James (1964). "Elements of a Theory of Stock-Option Value". Journal of Political Economy. 72 (2): 163–175 – via University of Chicago Press.

web.archive.org

Houstecky, Petr. "Black-Scholes Model History and Key Papers". Macroption. Archived from the original on Jun 14, 2024. Retrieved Oct 3, 2024.
Wilmott, Paul (2008-04-29). "Science in Finance IX: In defence of Black, Scholes and Merton". Archived from the original on 2008-07-24.; And the subsequent article:
Wilmott, Paul (2008-07-23). "Science in Finance X: Dynamic hedging and further defence of Black-Scholes". Archived from the original on 2008-11-20.
A Perspective on Quantitative Finance: Models for Beating the Market, Quantitative Finance Review, 2003. Also see Option Theory Part 1 by Edward Thorpe
Emanuel Derman and Nassim Taleb (2005). The illusions of dynamic replication Archived 2008-07-03 at the Wayback Machine, Quantitative Finance, Vol. 5, No. 4, August 2005, 323–326
See also: Doriana Ruffinno and Jonathan Treussard (2006). Derman and Taleb's The Illusions of Dynamic Replication: A Comment, WP2006-019, Boston University - Department of Economics.

wilmott.com

Wilmott, Paul (2008-04-29). "Science in Finance IX: In defence of Black, Scholes and Merton". Archived from the original on 2008-07-24.; And the subsequent article:
Wilmott, Paul (2008-07-23). "Science in Finance X: Dynamic hedging and further defence of Black-Scholes". Archived from the original on 2008-11-20.

worldcat.org

search.worldcat.org

Nahin, Paul J. (2012). "In Pursuit of the Unknown: 17 Equations That Changed the World". Physics Today. Review. 65 (9): 52–53. Bibcode:2012PhT....65i..52N. doi:10.1063/PT.3.1720. ISSN 0031-9228.
Stewart, Ian (February 12, 2012). "The mathematical equation that caused the banks to crash". The Guardian. The Observer. ISSN 0029-7712. Retrieved April 29, 2020.