Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/119285
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Perelló, Josep, 1974- | - |
dc.contributor.author | Porrà i Rovira, Josep Maria | - |
dc.contributor.author | Montero Torralbo, Miquel | - |
dc.contributor.author | Masoliver, Jaume, 1951- | - |
dc.date.accessioned | 2018-01-25T10:35:34Z | - |
dc.date.available | 2018-01-25T10:35:34Z | - |
dc.date.issued | 2000-04-01 | - |
dc.identifier.issn | 0378-4371 | - |
dc.identifier.uri | http://hdl.handle.net/2445/119285 | - |
dc.description.abstract | Options are financial instruments designed to protect investors from the stock market randomness. In 1973, Fisher Black, Myron Scholes and Robert Merton proposed a very popular option pricing method using stochastic differential equations within the Itô interpretation. Herein, we derive the Black-Scholes equation for the option price using the Stratonovich calculus along with a comprehensive review, aimed to physicists, of the classical option pricing method based on the Itô calculus. We show, as can be expected, that the Black-Scholes equation is independent of the interpretation chosen. We nonetheless point out the many subtleties underlying Black-Scholes option pricing method. | - |
dc.format.extent | 15 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Elsevier B.V. | - |
dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.1016/S0378-4371(99)00612-3 | - |
dc.relation.ispartof | Physica A, 2000, vol. 278, num. 1-2, p. 260-274 | - |
dc.relation.uri | https://doi.org/10.1016/S0378-4371(99)00612-3 | - |
dc.rights | (c) Elsevier B.V., 2000 | - |
dc.source | Articles publicats en revistes (Física de la Matèria Condensada) | - |
dc.subject.classification | Matemàtica financera | - |
dc.subject.classification | Processos estocàstics | - |
dc.subject.other | Business mathematics | - |
dc.subject.other | Stochastic processes | - |
dc.title | Black-Scholes option pricing within Itô and Stratonovich conventions | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 152722 | - |
dc.date.updated | 2018-01-25T10:35:34Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Física de la Matèria Condensada) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
152722.pdf | 134.63 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.