The Black–Scholes Option Pricing Formula

  • Steven Roman
Part of the Undergraduate Texts in Mathematics book series (UTM)


The models that we have been studying are discrete-time models, because changes take place only at discrete points in time. On the other hand, in continuous-time models, changes can take place (at least theoretically) at any real time during the life of the model.


Brownian Motion Stock Price Option Price Implied Volatility Standard Brownian Motion 
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Copyright information

© Steven Roman 2012

Authors and Affiliations

  • Steven Roman
    • 1
  1. 1.IrvineUSA

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