Itô’s Calculus: Derivation of the Black–Scholes Option Pricing Model
Author:
Publisher
Springer New York
Link
http://link.springer.com/content/pdf/10.1007/978-1-4939-9429-8_20
Reference41 articles.
1. Arnold, L. (1974). Stochastic differential equation: Theory and applications. New York: Wiley.
2. Bhattacharya, M. (1980). Empirical properties of the Black-Scholes formula under ideal conditions. Journal of Financial Quantitative Analysis, 15, 1081–1105.
3. Black, F. (1976). The pricing of commodity contracts. Journal of Financial Economics, 3, 167–178.
4. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637–654.
5. Boyle, P. P., & Ananthanarayanan, A. L. (1977). The impact of variance estimation in option valuation models. Journal of Financial Economics, 5, 375–387.
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