Black and Scholes Theory

Gopinath Kallianpur and Rajeeva L. Karandikar
Additional contact information
Gopinath Kallianpur: University of North Carolina, Department of Statistics
Rajeeva L. Karandikar: Indian Statistical Institute, Department of Mathematics & Statistics

Chapter 10 in Introduction to Option Pricing Theory, 2000, pp 191-203 from Springer

Abstract: Abstract In this chapter, we present the work of Black-Scholes and derive the Black-Scholes option pricing formula that follows their argument. While we have essentially derived the formula in the previous chapter, this approach has the added advantage that we can explicitly compute the hedging strategy. We also consider the diffusion model of the stock prices and obtain the price of the option via the Feynman-Kac formula.

Keywords: Cauchy Problem; Call Option; Striking Price; Hedging Strategy; Arbitrage Opportunity (search for similar items in EconPapers)
Date: 2000
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-0511-1_10

Ordering information: This item can be ordered from
http://www.springer.com/9781461205111

DOI: 10.1007/978-1-4612-0511-1_10

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().