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The Black-Scholes Model and Its Modifications

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Abstract

In Chap. 3, we have studied discrete-time financial market models, which are suitable for qualitative research and statistical analysis. However, for theoretical research, continuous-time models are proved to be a convenient framework, because one can use stochastic analysis tools in studying of pricing and hedging of contingent claims and portfolio selection. Using stochastic analysis tools can often lead to explicit solutions or analytical expressions.

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Authors and Affiliations

  1. Academy of Mathematics and System Science, Chineses Academy of Sciences, Beijing, China

    Jia-An Yan

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  1. Jia-An Yan
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Yan, JA. (2018). The Black-Scholes Model and Its Modifications. In: Introduction to Stochastic Finance. Universitext. Springer, Singapore. https://doi.org/10.1007/978-981-13-1657-9_5

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