Abstract
This technical note lays out the necessary mathematics for understanding the martingale and change of numeraire approaches to the Black-Scholes option pricing formula.
Additional Information
| Product Type | Technical Note |
|---|---|
| Reference No. | F&A0514TEC |
| Title | Probability in Finance - I: Mathematics of the Martingale and the Numeraire Change Approach to the Black-Scholes Option Pricing Formula |
| Pages | 34 |
| Published on | Mar 25, 2014 |
| Authors | Virmani, Vineet; |
| Area | Finance and Accounting (F&A) |
| Discipline | Finance |
| Keywords | Martingales; Stochastic Calculus; Option Pricing; Numeraire Change |
| Access | For All |
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