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: | , , , |
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| Format: | Article |
| Language: | en |
| Published: |
NAUN
2020
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/30843/1/IJCSSP%2014%202020%20821-825.pdf https://repo.uum.edu.my/id/eprint/30843/ https://www.naun.org/main/NAUN/circuitssystemssignal/2020/c162005-da%CE%BF.pdf |
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