Fischer Black
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Fischer Sheffey Black, Jr. was an American economist, best known as one of the co-authors of the Black–Scholes option pricing model. He held academic positions at the University of Chicago and the Mas
Fischer Black
Black–Scholes model
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The Black–Scholes or Black–Scholes–Merton model is a mathematical model for the dynamics of a financial market containing derivative investment instruments. From the parabolic partial differential equ
Fischer Black
…Fischer Sheffey Black, Jr. (January 11, 1938 – August 30, 1995) was an American economist, best known as one of the co-authors of the Black–Scholes option pricing model. He held academic positions at the University of Chicago and the Massachusetts Institute of Technology, later working at Goldman Sachs. In addition to…
Simulated geometric Brownian motions with parameters from market data
The normality assumption of the Black–Scholes model does not capture extreme movements such as stock market crashes.