Black Scholes Pricing and Dynamic Hedging I

Gikhman, Ilya I.

doi:10.2139/ssrn.1918014

Abstract

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Black Scholes Pricing and Dynamic Hedging I

Ilya I. Gikhman

Independent

August 27, 2011

Abstract:
Here we present some critical remarks on a popular derivation of the Black Scholes pricing equation.

Number of Pages in PDF File: 3

Keywords: Black Scholes equation, hedge

JEL Classification: G12

working papers series

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Date posted: August 27, 2011 ; Last revised: October 10, 2011

Suggested Citation

Gikhman, Ilya I., Black Scholes Pricing and Dynamic Hedging I (August 27, 2011). Available at SSRN: http://ssrn.com/abstract=1918014 or http://dx.doi.org/10.2139/ssrn.1918014

Contact Information

Ilya I. Gikhman (Contact Author)

Independent ( email )

6077 Ivy Woods Court
Mason, OH 45040
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