Teorema de Girsanov i aplicació al model de Black-Scholes

Abstract

[en] In this work we will explain stochastic integration for brownian motion and martingales, from basic but necessary concepts from stochastic analysis to how it is applied to Girsanov Theorem, which is the main theorem in this project. Moreover, we will briefly develop how stochastic analysis is applied to Black-Scholes financial model, both developing necessary conditions and the mathematic equation for european options.