Publications and Research

Document Type

Presentation

Publication Date

Winter 2-26-2016

Abstract

We explain some key mathematical ideas behind the no-arbitrage pricing of financial derivatives by replication, starting from a simple coin toss model and ending with the continuous-time limit of a multi-step coin-toss model using a geometric random walk model. In the limit, we obtain the classical Black-Scholes-Merton formula for pricing European call and put options.

Comments

This is an invited talk given at the CUNY Graduate Center on February 26, 2016.

 
 

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