About this document
Black-Scholes Model Overview by varun kumar is a document available to read on EtoBox.
This document discusses the Black-Scholes model for pricing options. It begins by introducing the Wiener process and its properties, including its origins in modeling Brownian motion. It then defines the Black-Scholes market model, where stock price movements are modeled using geometric Brownian motion. Finally, it outlines how the Black-Scholes partial differential equation and call option pricing formula are derived from this model.
- Author
- varun kumar
- Language
- EN