BSOPMBlack Scholes Option Pricing Model
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We repeat all of the tests using the arithmetic difference Sub - BSOPM.
BSOPM is the options value calculated using Black- Scholes and a is the proportion of total wealth held in illiquid firm- specific holdings.
The BSOPM was developed for European options on stocks--corporate equity securities, not commodity futures.
The BSOPM was built and remains dependent upon several assumptions:
Current BSOPM forms adjust for this relaxation of the original assumption; exercise before expiration date shortens it.