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Compact case
Case
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Reference no. UVA-F-0945
Subject category: Finance, Accounting and Control
Authors: Robert M Conroy (Darden School of Business, University of Virginia)
Published by: Darden Business Publishing
Published in: 1991
Length: 5 pages
Data source: Published sources
Topics: Capital markets; Option pricing
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Abstract

This note derives the Black-Scholes option-pricing model. It covers the basic assumptions necessary to derive the equation. In addition, it presents the arbitrage conditions used by Black and Scholes in simple terms. The basic stochastic differential equation is derived and the boundary conditions are specified for the valuation of a European call option.
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Abstract

This note derives the Black-Scholes option-pricing model. It covers the basic assumptions necessary to derive the equation. In addition, it presents the arbitrage conditions used by Black and Scholes in simple terms. The basic stochastic differential equation is derived and the boundary conditions are specified for the valuation of a European call option.

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Sorry, this product has no related items.