{
  "id": "2301.09996",
  "version": "v1",
  "published": "2023-01-24T13:47:47.000Z",
  "updated": "2023-01-24T13:47:47.000Z",
  "title": "Black-Scholes without stochastics or PDEs",
  "authors": [
    "Richard J. Martin"
  ],
  "categories": [
    "q-fin.PR",
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2023-01-24T13:47:47.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "partial differential equations",
      "binomial tree",
      "stochastic calculus",
      "black-scholes model",
      "continuum limit"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}