Itô‘s calculus and the derivation of the black-scholes option-pricing model

George Chalamandaris, A. G. Malliaris

Research output: Chapter in Book/Report/Conference proceedingChapter

Original languageEnglish
Title of host publicationHandbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (In 4 Volumes)
PublisherWorld Scientific Publishing Co.
Pages1025-1074
Number of pages50
ISBN (Electronic)9789811202391
ISBN (Print)9789811202384
DOIs
StatePublished - Jan 1 2020
Externally publishedYes

ASJC Scopus Subject Areas

  • General Economics,Econometrics and Finance
  • General Business,Management and Accounting

Keywords

  • Itô‘s lemma
  • Martingale
  • Options pricing
  • Stochastic calculus

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