Positing that an asset's value is a function of the expected benefit from acquisition and the present value of paying the exercise price, this is, FTP, what model of option pricing named for two economists?
It has been extended by Cox and Ross' constant elasticity of variance method, while one of its original assumptions was relaxed in work by Jonathan Ingerson. Because it assumes a flat surface of volatility, a related problem is the "smile" shape of real data. Building on the work of Louis Bachelier, it uses a model of geometric Brownian motion to characterize change, and it assumes that it is possible to borrow or lend money at a constant risk-free interest rate. Positing that an asset's value is a function of the expected benefit from acquisition and the present value of paying the exercise price, this is, FTP, what model of option pricing named for two economists?
It has been extended by Cox and Ross' constant elasticity of variance method, while one of its original assumptions was relaxed in work by Jonathan Ingerson.
Black-Scholes option pricing model