Brief History of the Black-Scholes-Merton Model
A very brief recollection of the history of the Black-Scholes-Merton Model: 129 years from Charles Castelli to the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 1997.Short Stories: BS by @Quant_Girl
If you are interested in reading more about the history of the Black-Scholes-Merton model, I highly recommend:
- In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World paper by Robert A. Jarrow published in 1999 in Journal of Economic Perspectives.
- How We Came Up with the Option Formula paper by Black himself published in 1989 in Journal of Portfolio Management. 15.2, pp. 4-8.
- Black-Scholes model history and key papers blog post in macroptions.
- Capital Ideas : The Improbable Origins of Modern Wall Street book by Peter Bernstein published in 2005.