Alternative methods to derive the black-scholes-merton equation

Alternative methods to derive the black-scholes-merton equation

© 2020, North Atlantic University Union NAUN. All rights reserved. We investigate the derivation of option pricing involving several assets following the Geometric Brownian Motion (GBM). First, we propose some derivations based on the basic ideas of the assets. Next, we consider the trivial case whe...

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Bibliographic Details
Main Authors: Nattakorn Phewchean, Renato Costa, Masnita Misiran, Yongwimon Lenbury
Other Authors: Mahidol University
Format: Article
Published: 2020
Subjects:
Computer Science
Engineering
Online Access:https://repository.li.mahidol.ac.th/handle/123456789/60449
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Institution: Mahidol University
Description
Summary:© 2020, North Atlantic University Union NAUN. All rights reserved. We investigate the derivation of option pricing involving several assets following the Geometric Brownian Motion (GBM). First, we propose some derivations based on the basic ideas of the assets. Next, we consider the trivial case where we have n assets. Finally, we consider different drifts, volatilities and Wiener processes but now from n stochastic assets taking into account a fixed-income.

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