Abstract
In this chapter we present some of the fundamental ideas of arbitrage pricing in continuous time, illustrating Black-Scholes theory from a point of view that is, as far as possible, elementary and close to the original ideas in the papers by Merton [250], Black and Scholes [49]. In Chapter 10 the topic will be treated in a more general fashion, fully exploiting martingale and PDEs theories.
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© 2011 Springer-Verlag Italia
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Pascucci, A. (2011). Black-Scholes model. In: PDE and Martingale Methods in Option Pricing. Bocconi & Springer Series. Springer, Milano. https://doi.org/10.1007/978-88-470-1781-8_7
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DOI: https://doi.org/10.1007/978-88-470-1781-8_7
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-1780-1
Online ISBN: 978-88-470-1781-8
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