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- W4234986835 abstract "The chapter starts with a detailed discussion of the bank account in discrete and continuous time. The Black–Scholes model is then introduced, and using the principle of no arbitrage we study the problem of pricing an arbitrary financial derivative within this model. Using the classical delta hedging approach we derive the Black–Scholes PDE for the pricing problem and using Feynman–Kač we also derive the corresponding risk neutral valuation formula and discuss the connection to martingale measures. Some concrete examples are studied in detail and the Black–Scholes formula is derived. We also discuss forward and futures contracts, and we derive the Black-76 futures option formula. We finally discuss the concepts and roles of historic and implied volatility." @default.
- W4234986835 created "2022-05-12" @default.
- W4234986835 creator A5071437277 @default.
- W4234986835 date "2019-12-05" @default.
- W4234986835 modified "2023-10-18" @default.
- W4234986835 title "Arbitrage Pricing" @default.
- W4234986835 doi "https://doi.org/10.1093/oso/9780198851615.003.0007" @default.
- W4234986835 hasPublicationYear "2019" @default.
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