Hamilton's principle and delta neutral portfolio
Black Scholes formula is a Nobel Prize winning formula for determining the price of option based on no arbitrage principle. In its derivation, Black and Scholes came up with a model based on setting up a delta neutral portfolio. Applying no arbitrage principle on the delta neutral portfolio, the Bla...
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| Format: | Final Year Project |
| Language: | English |
| Published: |
2009
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| Online Access: | http://hdl.handle.net/10356/16171 |
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| Institution: | Nanyang Technological University |
| Language: | English |