Itô’s Calculus and the Derivation of the Black–Scholes Option-Pricing Model

DOI10.1142/9789811202391_0027zbMath1454.91277OpenAlexW3124039079MaRDI QIDQ5139426

George Chalamandaris, Anastasios G. Malliaris

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0027

zbMATH Keywords

stochastic calculusmartingaleItô's lemmaoptions pricing

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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