Richard J. Martin
Published 2023-01-24Version 1
We show how to derive the Black-Scholes model and its generalisation to the `exchange-option' (to exchange one asset for another) via the continuum limit of the Binomial tree. No knowledge of stochastic calculus or partial differential equations is assumed, as we do not use them.
A Black--Scholes Model with Long Memory
Sensitivities of Asian options in the Black-Scholes model
Path integral approach to Asian options in the Black-Scholes model
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