Alternative methods to Derive the Black-Scholes-Merton Equation
We investigate the derivation of option pricing involving several assets following the Geometric Brownian Motion (GBM). First, we propose some derivations based on the basic ideas of the assets. Next, we consider the trivial case where we have n assets. Finally, we consider different drifts, volatil...
| Auteurs principaux: | , , , |
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| Format: | Article |
| Langue: | English |
| Publié: |
NAUN
2020
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| Sujets: | |
| Accès en ligne: | https://repo.uum.edu.my/id/eprint/30827/1/IJCSSP%2014%202020%20821-825.pdf |