ENGLISH

The Black-Scholes Model

By Marek Capinski , Ekkehard Kopp

Book information

Publisher
Cambridge University Press
Year
2012
ISBN
1107001692, 9781107001695, 9780521173001
Language
english
Format
PDF
Filesize
791 kB (810369 bytes)
Series
Mastering Mathematical Finance
Pages
178\180
Scanned
yes
Time added
2014-05-12 22:52:34

Description

The Black-Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing. The discussion of extended markets, the careful attention paid to the requirements for admissible trading strategies, the development of pricing formulae for many widely traded instruments and the additional complications offered by multi-stock models will appeal to a wide class of instructors. Students, practitioners and researchers alike will benefit from the book's rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls, gives clear motivation for results and techniques and includes carefully chosen examples and exercises, all of which make it suitable for self-study.

Similar books