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Derivation Of The Black-Scholes Option-Pricing Model
Conroy, Robert M. Technical Note F-0945 / Published March 29, 1991 / 5 pages.
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Product Overview

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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  • Overview

    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.

  • Learning Objectives