--%>
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 : 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 : Elasticity of Demand For the demand

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

    		•
  • Q : Problem on budgeted cash collections

    XYZ Company collects 20% of a month's sales in the month of sale, 70% in the month following sale, and 5% in the second month following sale. The remainder is not collectible. Budgeted sales for the subsequent four months are:     

    		•
  • Q : Use MS Excel to do the computations

    Select a dataset of your interest (preferably related to your company/job), containing one variable and atleast 100 data points. [Example: Annual profit figures of 100 companies for the last financial year]. Once you select the data, you should compute 4-5 summary sta

    		•
  • Q : Breakfast program if the average is

    if the average is 0.27 and we have $500 how much break fastest will we serve by 2 weeks

    		•
  • Q : Who independently developed

    Who independently developed a model for simply pricing risky assets?

    		•
  • Q : Statistics Caterer determines that 37%

    Caterer determines that 37% of people who sampled the food thought it was delicious. A random sample of 144 out of population of 5000. 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 : Abstract Boolean Algebra I. Boolean

    I. Boolean Algebra Define an abstract Boolean Algebra, B,  as follows:  The three operations are:  +   ( x + y addition) ( x y multiplic

    		•
  • Q : Law of iterated expectations for

     Prove the law of iterated expectations for continuous random variables. 2. Prove that the bounds in Chebyshev's theorem cannot be improved upon. I.e., provide a distribution that satisfies the bounds exactly for k ≥1, show that it satisfies the bounds exactly, and draw its PDF. T

    		•
  • Q : Formal logic It's a problem set, they

    It's a problem set, they are attached. it's related to Sider's book which is "Logic to philosophy" I attached the book too. I need it on feb22 but feb23 still work

    		•