Horizon - The Midas Formula - [1999-12-02]
The term Blackâ€“Scholes refers to three closely related concepts:
Fischer Black and Myron Scholes first articulated the Blackâ€“Scholes
formula in their 1973 paper, "The Pricing of Options and Corporate
Liabilities." The foundation for their research relied on work
developed by scholars such as Jack L. Treynor, Paul Samuelson, A. James
Boness, Sheen T. Kassouf, and Edward O. Thorp. The fundamental insight
of Blackâ€“Scholes is that the option is implicitly priced if the stock
Robert C. Merton was the first to publish a paper expanding the
mathematical understanding of the options pricing model and coined the
term "Blackâ€“Scholes" options pricing model.
Merton and Scholes received the 1997 The Sveriges Riksbank Prize in
Economic Sciences in Memory of Alfred Nobel for this and related work.
Though ineligible for the prize because of his death in 1995, Black was
mentioned as a contributor by the Swedish academy.
Today the uniqueness and originality of the model developed by Black,
Scholes and Merton is disputed. As early as 1908 the Italian
mathematician Vinzenz Bronzin developed a largely identical model.