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Black-Scholes value

The value provided by a formula for pricing tradable call options that do not pay dividends. Uses the stock price, the Exercise price, the risk-free interest rate, the time to expiration, and the expected standard deviation of the stock return (also know as the stock price Volatility). Developed by Fischer Black and Myron Scholes.

See Fischer Black and Myron Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 31, 637--654.

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Steven Huddart
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