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  3. The Black–Scholes Model
  • Cited by 4
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    • Publisher:
      Cambridge University Press
      Publication date:
      November 2012
      September 2012
      ISBN:
      9781139026130
      9781107001695
      9780521173001
      DOI:
      https://doi.org/10.1017/CBO9781139026130
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.42kg, 178 Pages
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.3kg, 178 Pages
      • Subjects:
      Mathematics, Mathematical Finance, Statistics for Econometrics, Finance and Insurance, Finance and Accountancy, Statistics and Probability
      Series:
      Mastering Mathematical Finance
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    • Selected: Digital
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    Subjects:
    Mathematics, Mathematical Finance, Statistics for Econometrics, Finance and Insurance, Finance and Accountancy, Statistics and Probability
    Series:
    Mastering Mathematical Finance
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    Book description

    The Black–Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing. The discussion of extended markets, the careful attention paid to the requirements for admissible trading strategies, the development of pricing formulae for many widely traded instruments and the additional complications offered by multi-stock models will appeal to a wide class of instructors. Students, practitioners and researchers alike will benefit from the book's rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls, gives clear motivation for results and techniques and includes carefully chosen examples and exercises, all of which make it suitable for self-study.

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