Publication: Alternative methods to derive the black-scholes-merton equation
Issued Date
2020-01-01
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ISSN
19984464
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2-s2.0-85097209741
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Mahidol University
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SCOPUS
Bibliographic Citation
International Journal of Circuits, Systems and Signal Processing. Vol.14, (2020), 821-825
Suggested Citation
Nattakorn Phewchean, Renato Costa, Masnita Misiran, Yongwimon Lenbury Alternative methods to derive the black-scholes-merton equation. International Journal of Circuits, Systems and Signal Processing. Vol.14, (2020), 821-825. doi:10.46300/9106.2020.14.106 Retrieved from: https://repository.li.mahidol.ac.th/handle/20.500.14594/60449
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Title
Alternative methods to derive the black-scholes-merton equation
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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.