Daniel W. Stroock

Massachusetts Institute of Technology (MIT) - Department of Mathematics

Cambridge, MA 02139-4307

United States

  • Massachusetts Institute of Technology (MIT) - Department of Mathematics

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On the Derivation of the Black-Scholes Formula

Seminaire de Probabilites, Vol. 37, pp. 399-414, 2004
Number of pages: 12 Posted: 02 May 2005
Ioanid Rosu and Daniel W. Stroock
HEC Paris - Finance Department and Massachusetts Institute of Technology (MIT) - Department of Mathematics
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Abstract:

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option pricing, bond replication, self-financing strategy