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IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2018-09-08 DOI:10.1002/9781119507918.ch4

Kaitlyn Hindman

引用次数: 6

Abstract

This paper investigates the Black-Scholes model, which is used to obtain an initial fair price for an option in the stock market. The Black-Scholes partial differential equation will be derived using tools from finance, probability theory, stochastic calculus and partial differential equations.

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期权定价

本文研究了股票市场上用于确定期权初始公平价格的Black-Scholes模型。Black-Scholes偏微分方程将使用金融学、概率论、随机微积分和偏微分方程等工具推导。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets