In modern financial practice, asset prices are modelled by means of stochastic processes, and continuous-time stochastic calculus thus plays a central role in financial modelling. This approach has its roots in the foundational work of the Nobel laureates Black, Scholes and Merton. Asset prices are
Financial markets in continuous time
✍ Scribed by Rose-Anne Dana, Monique Jeanblanc, A. Kennedy
- Publisher
- Springer
- Year
- 2007
- Tongue
- English
- Leaves
- 331
- Series
- Springer finance
- Category
- Library
No coin nor oath required. For personal study only.
✦ Subjects
Финансово-экономические дисциплины;Математические методы и моделирование в экономике;
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<p>Modern option pricing theory was developed in the late sixties and early seventies by F. Black, R. e. Merton and M. Scholes as an analytical tool for pricing and hedging option contracts and over-the-counter warrants. How ever, already in the seminal paper by Black and Scholes, the applicability