scientific article; zbMATH DE number 1444753
This is a historical paper written after the 1997 Economics Nobel Prize award to Merton and Scholes for the Black-Scholes formula. It starts with some quotes related to the award, gives a sketch of the historical development of the Wiener process and explains some of the basic elements of the Itô calculus. This is followed by a derivation of the Black-Scholes PDE and formula and a discussion of possible ways of estimating the volatility parameter in the Black-Scholes model. The final section summarizes some recent strong limit theorems relating integral and supremum type functionals of continuous stochastic processes. The bibliography comprises 75 references and the overall goal is to put the basics of and behind option pricing into a historical context. For the entire collection see [Zbl 0933.00038].
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