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BLACK‐SCHOLES REVISITED: SOME IMPORTANT DETAILS
Author(s) -
Kutner George W.
Publication year - 1988
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1988.tb00777.x
Subject(s) - valuation (finance) , black–scholes model , simple (philosophy) , economics , mathematical economics , neutrality , econometrics , financial economics , actuarial science , finance , philosophy , epistemology , volatility (finance)
This paper discusses some of the important details not presented in the original derivation of the Black‐Scholes option valuation model. The associated economic rationale is also discussed. A simple alternative derivation based upon risk‐neutrality arguments is presented.