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Black‐Scholes Revisited: Some Important Details
Author(s) -
Beck Thomas M.
Publication year - 1993
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.1540-6288.1993.tb01338.x
Subject(s) - black–scholes model , mathematical economics , mathematics , calculus (dental) , computer science , econometrics , medicine , volatility (finance) , dentistry
The traditional derivation of the Black‐Scholes formula is mathematically unsatisfactory. In this paper, the problems associated with the traditional derivation are pointed out and an alternative, more rigorous derivation is presented.