Black-Scholes Equation from Ito's Lemma
Автор: Mike, the Mathematician
Загружено: 2023-01-31
Просмотров: 3823
We derive the Black-Scholes equation from the Ito Lemma. We construct a portfolio which shorts one derivative and takes a long fractional position in the stock (which is the delta of the option). This portfolio will be risk free.
#mikedabkowski, #mikethemathematician, #profdabkowski, #mathfinance
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