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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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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spelling th-mahidol.604492020-12-28T12:19:35Z Alternative methods to derive the black-scholes-merton equation Nattakorn Phewchean Renato Costa Masnita Misiran Yongwimon Lenbury Mahidol University Universiti Utara Malaysia PERDO Computer Science Engineering © 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. 2020-12-28T04:58:01Z 2020-12-28T04:58:01Z 2020-01-01 Article International Journal of Circuits, Systems and Signal Processing. Vol.14, (2020), 821-825 10.46300/9106.2020.14.106 19984464 2-s2.0-85097209741 https://repository.li.mahidol.ac.th/handle/123456789/60449 Mahidol University SCOPUS https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85097209741&origin=inward
institution Mahidol University
building Mahidol University Library
continent Asia
country Thailand
Thailand
content_provider Mahidol University Library
collection Mahidol University Institutional Repository
topic Computer Science
Engineering
spellingShingle Computer Science
Engineering
Nattakorn Phewchean
Renato Costa
Masnita Misiran
Yongwimon Lenbury
Alternative methods to derive the black-scholes-merton equation
description © 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.
author2 Mahidol University
author_facet Mahidol University
Nattakorn Phewchean
Renato Costa
Masnita Misiran
Yongwimon Lenbury
format Article
author Nattakorn Phewchean
Renato Costa
Masnita Misiran
Yongwimon Lenbury
author_sort Nattakorn Phewchean
title Alternative methods to derive the black-scholes-merton equation
title_short Alternative methods to derive the black-scholes-merton equation
title_full Alternative methods to derive the black-scholes-merton equation
title_fullStr Alternative methods to derive the black-scholes-merton equation
title_full_unstemmed Alternative methods to derive the black-scholes-merton equation
title_sort alternative methods to derive the black-scholes-merton equation
publishDate 2020
url https://repository.li.mahidol.ac.th/handle/123456789/60449
_version_ 1763493015781900288

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