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The Black–Scholes paper: a personal perspective

Neuberger, A. ORCID: 0000-0002-5344-1083 (2023). The Black–Scholes paper: a personal perspective. Decisions in Economics and Finance, 46(2), pp. 713-730. doi: 10.1007/s10203-023-00415-z


This is a personal assessment of the intellectual contribution of the Black–Scholes model of option pricing. I argue that the real contribution of the paper is to show that European options can be replicated exactly if the future variability of the path of transaction prices is known. The continuous rebalancing and the probabilistic setting of the original paper mask this insight.

Publication Type: Article
Additional Information: This version of the article has been accepted for publication, after peer review (when applicable) and is subject to Springer Nature’s AM terms of use, but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at:
Publisher Keywords: Option pricing, Dynamic hedging, Realized variance
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Finance
SWORD Depositor:
[thumbnail of Black-Scholes perspective revised.pdf] Text - Accepted Version
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