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...

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Main Authors: Phewchean, Nattakorn, Costa, Renato, Misiran, Masnita, Lenbury, Yongwimon
Format: Article
Language:English
Published: NAUN 2020
Subjects:
Online Access:https://repo.uum.edu.my/id/eprint/30843/1/IJCSSP%2014%202020%20821-825.pdf
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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
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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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