Options & Derivatives

Black-Scholes Model

A closed-form model for European option prices under continuous hedging and constant volatility.

Assumes lognormal prices, constant volatility, no transaction costs, continuous trading and a constant rate. Every one of those is false.

Why it survives anyway. It is used as a quoting convention, not as a belief: it maps price to a single interpretable parameter invertibly, which makes options comparable. The wrongness is absorbed by letting implied volatility vary by strike and expiry.

The deep insight is not the formula but the replication argument - the option is hedgeable, so its price is determined by no-arbitrage and the real-world drift never appears.

Full guide

Black–Scholes and Risk-Neutral Pricing, Intuitively

Why an option has a single fair price at all - no-arbitrage, replication, and the risk-neutral trick - without the differential equation.

Related terms

Practise this

Put it into practice

Knowing the definition is not the same as spotting where it applies under time pressure. Work the question bank free.

Start practising free

Browse the full quant interview glossary