Talk:Black–Scholes model

message: As currently written, the second sentence is "From the model, one can deduce the Black–Scholes formula". Hmmm... "deduce"? Really? That phrasing seems muddled, to put it nicely. Quantitative models often *consist of* formulas but rarely "generate" formulas. Isn't it better to say that the B-S model consists of the B-S equation? Hugantik (talk) 07:30, 9 March 2013 (UTC)
replies: text: Most people would say a mathematical model consists of assumptions and sometimes deductions, some of which are given in equations.  According to mathematical model, a mathematical model is a "description of a system using mathematical concepts and language".  In any case, the Black-Scholes equation is not a description of the Black-Scholes "universe" per se, but part of it, and in fact a deduction one makes from more basic parts of the model, which are not in fact originally due to Black and Scholes, but people like Samuelson.  In fact, people do often speak of models leading to formulae.   --C S (talk) 01:33, 13 March 2013 (UTC)
thread_title:  Model vs. Equation? 

message: Since the vast majority of options traded today are American-style, why is there no mention of how the BS model needs to be changed to accommodate them?  — Preceding unsigned comment added by Hsfrey (talk • contribs) 04:36, 5 May 2012 (UTC)
replies: text: Good point, I added in a small section discussing the difference (mainly partial differential inequality instead of equality). Zfeinst (talk) 15:57, 5 May 2012 (UTC)
thread_title:  Why no mention of American Style options? 

message: The section on Black-Scholes calculators written by User:Novolucidus, which refers to his/her webpage, is based on a misconception.  S/he seems unaware that the rate put into Matlab's price function is not the same as the one put into his/her function.  Matlab's function requires the rate be continuously compounded while his/her does not.  In other words, if Matlab's rate is r, and Novolucidus' rate is R, 1+R = e^r.  The use of a continuously compounded interest rate is fairly common in this area, and I expect that's why "the majority of such calculators" do not agree with Novolucidus'.  --C S (talk) 17:45, 7 August 2012 (UTC)
thread_title:  Black-Scholes calculators 

message: Why isn't C(S, t) = max{S − D K, 0} a solution? u(x, τ) = K [exp(max{x + σ2τ/2, 0}) − 1]. Granted, the first derivatives have a jump at S = D K. Do the sources just assume that the solution has continuous first derivatives or do they require it for some reason?—pivovarov (talk) 09:07, 12 April 2013 (UTC)
replies: text: Ito's lemma doesn't apply unless the 'C' has continuous first derivatives.  --C S (talk) 08:27, 25 April 2013 (UTC)
thread_title:  Non-smooth solution 

message: I think the presented price formulas are not correct, the correct ones are available here: http://www.macroption.com/black-scholes-formula/.  — Preceding unsigned comment added by 217.173.8.141 (talk) 22:47, 15 May 2015 (UTC)
thread_title:  Instruments paying continuous yield dividends 

message: Dr. Wu has reviewed this Wikipedia page, and provided us with the following comments to improve its quality:
We hope Wikipedians on this talk page can take advantage of these comments and improve the quality of the article accordingly.
Dr. Wu has published scholarly research which seems to be relevant to this Wikipedia article:
*Reference : Jingzhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes," Finance 0401002, EconWPA.
ExpertIdeasBot (talk) 09:12, 16 June 2016 (UTC)
replies: text:  Indeed just noticed the article fails to stress that Black-Scholes is the dynamically obtained risk-neutral argument. The article promotes the misconception that it was a mere pricing formula. Will incorporate such a central idea. Limit-theorem (talk) 12:18, 5 November 2017 (UTC)
replies: text:  I think I fixed the article and addressed Dr. Wu's very, very valid concerns. In the past I have given it to students not noticing the article had such inaccuracies and incomplete description. Limit-theorem (talk) 01:07, 15 November 2017 (UTC)
thread_title:  Dr. Wu's comment on this article 

message: User: LAA78 SPA is trying to put/market his own software on the Black Scholes Page. He emailed me after revert to say so. An encyclopedia is not a bulletin board. Limit-theorem (talk) 23:51, 8 January 2018 (UTC)
replies: text: User: Limit-theorem An encyclopedia is a place for new ideas and contributions.  I do not see any Black-Scholes calculators available that use numerical methods.  All the calculators available that I have seen use the close-form solution.  How can I "put/market" my own software when I am making it available for free and placing it in the public domain?  LAA78  —Preceding undated comment added 00:10, 9 January 2018 (UTC)
replies: text: @LAA78: If you're drawing traffic to your own website, that's promotion. If you're trying to get your name out or increase awareness of your product, that's promotion. There does not have to be a commercial motive for the spam policies to apply. —C.Fred (talk) 00:24, 9 January 2018 (UTC)
replies: text:  I cannot revert today but, unless someone does it, post on ANI. Note that SPAs are systematically banned.Limit-theorem (talk) 01:12, 9 January 2018 (UTC)
thread_title:  Adding one's software 

message: I would just like to point out that the model works correctly for time intervals expressed in any unit u as long as interest rates are expressed in 1/u. One needs simply to convert whenever appropriate, just as in any dimensional problem. Specifying that these must be in years is incorrect and confusing. There must be some source which can be cited for this. 50.121.51.32 (talk) 14:13, 27 February 2019 (UTC)
replies: text: That is the norm is practically all papers, including the original one. Limit-theorem (talk) 05:50, 28 February 2019 (UTC)
thread_title:  Needless specification of units of years on rates and times. 

message: When the article says (under "Assumptions on the market") "there is no way to make a riskless profit", shouldn't that be "riskless profit greater than the risk-free interest rate"?
Jmichael ll (talk) 16:33, 10 June 2019 (UTC)
thread_title:  riskless profit 

message: This article has the tone of a math textbook, with instructional language and extensive use of "we".   Wikipedia is an encyclopedia, not a textbook.  Please see Wikipedia:What_Wikipedia_is_not#Wikipedia_is_not_a_manual,_guidebook,_textbook,_or_scientific_journal.
Ira Ira Leviton (talk) 14:42, 25 July 2020 (UTC)
thread_title: Tone template addded

message: The bit with the Black/Scholes formula uses both d_1 and d_2 as well as d_{+}  and d_{-}  notation interchangeably. Both are possible, but it should be consistent within the article. Smeyen (talk) 16:59, 31 March 2023 (UTC)
thread_title:  d_1 and d_2 vs d_+ and d_-