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Black-Scholes formula (developed by Fischer Black and Myron Scholes) prices the value of a European option on a financial asset, given its price, the exercise price, the time to maturity, the risk-free interest rate and the asset’s expected standard deviation/volatility.

Source Publication:
OECD, OECD Economic Outlook Glossary, OECD, Paris.

Statistical Theme: Financial statistics

Created on Friday, March 21, 2003

Last updated on Thursday, March 28, 2013