---
title: Black-Scholes-Merton Model
url: https://www.ml-quant.com/papers/ssrn/4946621/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4946621
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4946621
featured: 2024-09-05
citations: unknown
topic: Derivatives & Volatility
---


# Black-Scholes-Merton Model

The expected return rate of an asset does impact the option pricing model, contrary to continuous-time finance literature, necessitating a linear function between risk-free interest rate and the asset's expected return rate and return variance.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4946621
- Identifier: SSRN 4946621
- Released: 2024-08-30
- First featured: Quant Letter No. 64 (2024-09-05): https://www.ml-quant.com/issues/2024-09-05/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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