About this document
Simplified Black-Scholes Derivation by Ruchita Agrawal is a document available to read on EtoBox.
1) The document derives the Black-Scholes equation for pricing European call options in a risk-neutral universe using elementary calculus. 2) In a risk-neutral universe, the value of any asset follows a random walk process where the expected return equals the risk-free rate of return. 3) Using this property of risk-neutral valuation and applying calculus techniques like substitution and integration, the author derives the Black-Scholes formula in a straightforward manner requiring only basic probability
- Author
- Ruchita Agrawal
- Language
- EN