Abstract
In Chap. 2, we obtained the Black-Scholes formula by taking the limit of the binomial model. In this chapter, we present two further methods for obtaining the formula, and then show how analogous results can be obtained in a more general framework. The financial market comprises d risky assets, and one bond or riskless asset. Asset prices are modeled by means of a Brownian motion, using the notion of stochastic integral.
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© 2007 Springer-Verlag Berlin Heidelberg
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(2007). The Black-Scholes Formula. In: Financial Markets in Continuous Time. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-71150-6_3
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DOI: https://doi.org/10.1007/978-3-540-71150-6_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-71149-0
Online ISBN: 978-3-540-71150-6
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