Four Things You Might Not Know About the Black-Scholes Formula

Abstract

More than 40 years of playing around with the Black-Scholes equation has produced a large number of insights about its properties. Some are just cute little mathematical tidbits; others may have considerable value for practitioners, even if they amount to no more than useful rules-of-thumb or computational tricks; and some actually reflect deep mathematical properties of the Black-Scholes framework. In this article, Poulsen discusses several such neat little results about the option pricing model.