Derivation Of The Black-Scholes Option-P...
Conroy, Robert M.
Derivation Of The Black-Scholes Option-Pricing Model
F-0945 | Published March 29, 1991 | 5 pages Technical Note
Collection: Darden School of Business
Product Details
This note derives the Black-Scholes option-pricing model. It covers the basic assumptions necessary to derive the equation. In addition, it presents the arbitrage conditions used by Black and Scholes in simple terms. The basic stochastic differential equation is derived, and the boundary conditions are specified for the valuation of a European call option.
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