Black-Scholes options pricing model

被引：0
作者：
Slacálek, J [1 ]
机构：
[1] Johns Hopkins Univ, Baltimore, MD 21218 USA
来源：
FINANCE A UVER | 2000年 / 50卷 / 02期
关键词：
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper deals with the most widespread model of options pricing, the Black-Scholes model. The model is derived in the usual way, by means of Ito's lemma. The Black-Scholes partial differential equation is obtained under the assumption of geometric Brownian motion of the underlying stock. Several useful generalizations, including a brief overview of risk-neutral pricing, are discussed. The last section contains an empirical test of this model using daily data from the Chicago Board Options Exchange. The appendix gives a thumbnail sketch of the fundamental results of stochastic differential calculus.
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页码：78 / 96
页数：39
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