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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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NAUN
2020
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/30843/1/IJCSSP%2014%202020%20821-825.pdf |
| _version_ | 1825806255663349760 |
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| author | Phewchean, Nattakorn Costa, Renato Misiran, Masnita Lenbury, Yongwimon |
| author_facet | Phewchean, Nattakorn Costa, Renato Misiran, Masnita Lenbury, Yongwimon |
| author_sort | Phewchean, Nattakorn |
| collection | UUM |
| description | 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, volatilities and Wiener processes but now from n stochastic assets taking into account a fixed-income |
| first_indexed | 2024-07-04T06:46:37Z |
| format | Article |
| id | uum-30843 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:46:37Z |
| publishDate | 2020 |
| publisher | NAUN |
| record_format | eprints |
| spelling | uum-308432024-06-10T08:39:56Z https://repo.uum.edu.my/id/eprint/30843/ Alternative Methods to Derive the Black-Scholes-Merton Equation Phewchean, Nattakorn Costa, Renato Misiran, Masnita Lenbury, Yongwimon QA Mathematics 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, volatilities and Wiener processes but now from n stochastic assets taking into account a fixed-income NAUN 2020 Article PeerReviewed application/pdf en cc4_by https://repo.uum.edu.my/id/eprint/30843/1/IJCSSP%2014%202020%20821-825.pdf Phewchean, Nattakorn and Costa, Renato and Misiran, Masnita and Lenbury, Yongwimon (2020) Alternative Methods to Derive the Black-Scholes-Merton Equation. International Journal of Circuits, Systems and Signal Processing, 14. pp. 821-825. ISSN 1998-4464 https://www.naun.org/main/NAUN/circuitssystemssignal/2020/c162005-da%CE%BF.pdf DOI: 10.46300/9106.2020.14.106 DOI: 10.46300/9106.2020.14.106 |
| spellingShingle | QA Mathematics Phewchean, Nattakorn Costa, Renato Misiran, Masnita Lenbury, Yongwimon Alternative Methods to Derive the Black-Scholes-Merton Equation |
| title | Alternative Methods to Derive the Black-Scholes-Merton Equation |
| title_full | Alternative Methods to Derive the Black-Scholes-Merton Equation |
| title_fullStr | Alternative Methods to Derive the Black-Scholes-Merton Equation |
| title_full_unstemmed | Alternative Methods to Derive the Black-Scholes-Merton Equation |
| title_short | Alternative Methods to Derive the Black-Scholes-Merton Equation |
| title_sort | alternative methods to derive the black scholes merton equation |
| topic | QA Mathematics |
| url | https://repo.uum.edu.my/id/eprint/30843/1/IJCSSP%2014%202020%20821-825.pdf |
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