--%>
Assignment Help - homework help

Explain Black–Scholes model

Explain Black–Scholes model.

E

Expert

Verified

The Black-Scholes model is depends on geometric Brownian motion for asset price S as

dS = µSdt + σSdX.

The Black-Scholes partial differential equation for value V of an alternative is then

∂V/∂t + ½ σ2S2 (∂2V/∂S2) + rS (∂V/∂S) - rV = 0

   Related Questions in Mathematics

  • Q : How to get calculus homework done from

    How to get calculus homework done from tutor

    		•
  • Q : First-order formulas over the

    Consider the unary relational symbols P and L, and the binary relational symbol On, where P(a) and I(a) encode that a is apoint and a (sraight) line in the 2-dimensional space, respectively, while On(a,b) encodes  that a is a point, b is a line, and o lies on b.

    		•
  • Q : The mean of the sampling distribution

    1. Caterer determines that 87% of people who sampled the food thought it was delicious. A random sample of 144 out of population of 5000 taken. The 144 are asked to sample the food. If P-hat is the proportion saying that the food is delicious, what is the mean of the sampling distribution p-hat?<

    		•
  • Q : Elasticity of Demand For the demand

    For the demand function D(p)=410-0.2p(^2), find the maximum revenue.

    		•
  • Q : Define terms Terms : Terms are defined

    Terms: Terms are defined inductively by the following clauses.               (i) Every individual variable and every individual constant is a term. (Such a term is called atom

    		•
  • Q : Problem on inverse demand curves In

    In differentiated-goods duopoly business, with inverse demand curves: P1 = 10 – 5Q1 – 2Q2P2 = 10 – 5Q2 – 2Q1 and per unit costs for each and every firm equal to 1.<

    		•
  • Q : Problem on Fermats method A public key

    A public key for RSA is published as n = 17947 and a = 3. (i) Use Fermat’s method to factor n. (ii) Check that this defines a valid system and find the private key X.

    Q : Maths A cricketer cn throw a ball to a

    A cricketer cn throw a ball to a max horizontl distnce of 100m. If he throws d same ball vertically upwards then the max height upto which he can throw is????

    		•
  • Q : Solve each equation by factoring A

    A college student invested part of a $25,000 inheritance at 7% interest and the rest at 6%.  If his annual interest is $1,670 how much did he invest at 6%?  If I told you the answer is $8,000, in your own words, using complete sentences, explain how you

    		•
  • Q : Where would we be without stochastic

    Where would we be without stochastic or Ito^ calculus?

    		•