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Derivation of Black-Scholes formula

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

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-1207109-143842
Date07 December 2009
CreatorsTseng, Cho-Ming
ContributorsNgai-Ching Wong, Jen-Chih Yao, Hong-Kun Xu, Lai-Jiu Lin, Ngai-Ching Wong
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageEnglish
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-1207109-143842
Rightsnot_available, Copyright information available at source archive

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