Derivation of the Black–Scholes Equation from Basic Principles

DOI10.1080/07468342.2018.1439634zbMath1407.97025OpenAlexW2796954100MaRDI QIDQ4581743

Granville Sewell

Publication date: 20 August 2018

Published in: The College Mathematics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07468342.2018.1439634

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial and insurance mathematics (aspects of mathematics education) (97M30) Functional equations (educational aspects) (97I70)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models

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