--%>
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 : Test Please read the assignment

    Please read the assignment carefully and confirm only if you are 100% sure. Please go through below mentioned guidelines and penalties: • Your solution must be accurate and complete. • Please do not change Subject Title of the Email. • Penalty clause will be applied in case of delayed or plag

    		•
  • Q : How do it? integral e^(-t)*e^(tz) t

    integral e^(-t)*e^(tz) t between 0 and infinity for Re(z)<1

    		•
  • Q : Ordinary Differential Equation or ODE

    What is an Ordinary Differential Equation (ODE)?

    		•
  • Q : What is Big-O hierarchy The big-O

    The big-O hierarchy: A few basic facts about the big-O behaviour of some familiar functions are very important. Let p(n) be a polynomial in n (of any degree). Then logbn is O(p(n)) and p(n) is O(an<

    		•
  • Q : Who developed a rigorous theory for

    Who developed a rigorous theory for Brownian motion?

    		•
  • Q : What is limit x tends to 0 log(1+x)/x

    What is limit x tends to 0  log(1+x)/x to the base a?

  • Q : How to calculate area of pyramid

    Calculate area of pyramid, prove equation?

    		•
  • Q : Problem on Nash equilibrium In a

    In a project, employee and boss are working altogether. The employee can be sincere or insincere, and the Boss can either reward or penalize. The employee gets no benefit for being sincere but gets utility for being insincere (30), for getting rewarded (10) and for be

    		•
  • Q : Probability and Stochastic assignment

    Introduction to Probability and Stochastic Assignment 1: 1. Consider an experiment in which one of three boxes containing microchips is chosen at random and a microchip is randomly selected from the box.

    		•
  • Q : Area Functions & Theorem Area Functions

    Area Functions 1. (a) Draw the line y = 2t + 1 and use geometry to find the area under this line, above the t - axis, and between the vertical lines t = 1 and t = 3. (b) If x > 1, let A(x) be the area of the region that lies under the line y = 2t + 1 between t

    		•