A review on Black-Scholes model

• Main Author: Yang, Yang
• Other Authors: Shu Jian Jun
• Format: Final Year Project
• Language: English
• Published: 2016
• Subjects: DRNTU::Engineering
• Online Access: http://hdl.handle.net/10356/68772
• Institution: Nanyang Technological University

The Black-Scholes model has been served as the most fundamental model in option pricing for over four decades. Its derivation is based on ideal assumptions which are impossible in practice. Empirical evidences showed that the Black-Scholes model provides reasonable theoretical estimations of option...