Option Pricing Model
Definition
A mathematical model used to calculate the theoretical value of an option. Inputs to option pricing models typically include the price of the underlying instrument, the option strike price, the time remaining till the expiration date, the volatility of the underlying instrument, and the risk-free interest rate (e.g., the Treasury bill interest rate). Examples of option pricing models include Black-Scholes and Cox-Ross-Rubinstein.
Related Terms Other terms related to 'Option Pricing Model' starting with the letter 'O' One to Many, Option Writer, Option, Out of Position, Oversold Browse by Letter » A B C D E F G H I J K L M N O P Q R S T U V W Y Z
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