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 |
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Creator |
Chappell, David
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Subject |
Διαμόρφωση τιμών; Αγορά βασικών προϊόντων
Price formation; Commodities market |
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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. |
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Publisher |
University of Piraeus
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Date |
1992-07-01
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Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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Format |
application/pdf
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Identifier |
http://spoudai.unipi.gr/index.php/spoudai/article/view/999
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Source |
SPOUDAI - Journal of Economics and Business; Vol 42, No 3-4 (1992); 193-207
2241-424X 1105-8919 |
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Language |
eng
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Relation |
http://spoudai.unipi.gr/index.php/spoudai/article/view/999/1078
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Rights |
Copyright (c) 1992 SPOUDAI - Journal of Economics and Business
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