Black-Scholes model

  • Andrea Pascucci
Part of the Bocconi & Springer Series book series (BS)


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.


Cauchy Problem Risky Asset Call Option Implied Volatility Underlying Asset 
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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Andrea Pascucci
    • 1
  1. 1.Department of MathematicsUniversity of BolognaBologna

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