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On the derivation and solution of the black-scholes option pricing model

Journal of Economics and Business - SPOUDAI

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Title On the derivation and solution of the black-scholes option pricing model
On the derivation and solution of the black-scholes option pricing model
 
Creator Chappell, David
 
Subject Διαμόρφωση τιμών; Αγορά βασικών προϊόντων
Price formation; Commodities market
 
Description The derivation and solution of the celebrated Black-Scholes Option Pricing Formula is set out in
rather more detail than has appeared in the literature so far. One problem with the Black-Scholes analysis
is that the mathematical skills required in the derivation and particularly in the solution of the model are
fairly advanced and probably unfamiliar to most economists. This paper derives the partial differential
equation for the call option price and gives full details of its solution. All the necessary mathematics are
given in three appendices. It is anticipated that the mathematical methods detailed here will be of wider
applicability in Economics and Finance.
 
Publisher University of Piraeus
 
Date 1992-07-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion

 
Format application/pdf
 
Identifier http://spoudai.unipi.gr/index.php/spoudai/article/view/999
 
Source SPOUDAI - Journal of Economics and Business; Vol 42, No 3-4 (1992); 193-207
2241-424X
1105-8919
 
Language eng
 
Relation http://spoudai.unipi.gr/index.php/spoudai/article/view/999/1078
 
Rights Copyright (c) 1992 SPOUDAI - Journal of Economics and Business