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|Title:||Alternative methods to derive the black-scholes-merton equation|
Universiti Utara Malaysia
|Citation:||International Journal of Circuits, Systems and Signal Processing. Vol.14, (2020), 821-825|
|Abstract:||© 2020, North Atlantic University Union NAUN. All rights reserved. We investigate the derivation of option pricing involving several assets following the Geometric Brownian Motion (GBM). First, we propose some derivations based on the basic ideas of the assets. Next, we consider the trivial case where we have n assets. Finally, we consider different drifts, volatilities and Wiener processes but now from n stochastic assets taking into account a fixed-income.|
|Appears in Collections:||Scopus 2020|
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