Abstract
This technical note lays out the necessary mathematics for understanding the Black-Scholes-Merton Partial Differential Equation.
Additional Information
| Product Type | Technical Note |
|---|---|
| Reference No. | F&A0492TEC |
| Title | PDEs in Finance -I: Mathematics of the Black-Scholes-Merton PDE |
| Pages | 35 |
| Published on | Feb 9, 2012 |
| Authors | Virmani, Vineet; |
| Area | Finance and Accounting (F&A) |
| Discipline | Finance, Quantitative Methods |
| Sector | Miscellaneous |
| Keywords | Partial Differential Equations , Stochastic Calculus , Option Pricing |
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