The Black-Scholes European option pricing formula can be derived in several ways. In this dissertation we present several methods that can be used to derive
this formula, including partial differential equation method, the risk-neutral pricing method, the martingale measure method, and the change of numeraire technique
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-1207109-143842 |
| Date | 07 December 2009 |
| Creators | Tseng, Cho-Ming |
| Contributors | Ngai-Ching Wong, Jen-Chih Yao, Hong-Kun Xu, Lai-Jiu Lin, Ngai-Ching Wong |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-1207109-143842 |
| Rights | not_available, Copyright information available at source archive |
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