On the derivation and solution of the Black-Scholes option pricing model : a step-by-step guide
Part of : Σπουδαί : journal of economics and business ; Vol.42, No.3-4, 1992, pages 193-207
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Pages:
193-207
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Abstract:
The derivation and solution of the celebrated Black-Scholes Option Pricing Formula is set out in rather more detail than has appeared in the literature so far. One problem with the Black-Scholes analysis is that the mathematical skills required in the derivation and particularly in the solution of the model are fairly advanced and probably unfamiliar to most economists. This paper derives the partial differential equation for the call option price and gives full details of its solution. All the necessary mathematics are given in three appendices. It is anticipated that the mathematical methods detailed here will be of wider applicability in Economics and Finance.
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Περιέχει παραρτήματα και βιβλιογραφία
