Chris Bemis
How much should you charge for the option to buy a certain stock in six months for K dollars? The Black-Scholes options pricing formula answers such a question. A derivation of this formula will be shown using the idea that there are no arbitrage opportunities (i.e., there's no free money out there). After the derivation of the formula, we will look at real market data and the implications this data has on the Black-Scholes model.
Go Back to Junior Coll. Web page
URL http://www.math.umn.edu/jrcoll/ The University of Minnesota is an equal opportunity educator and employer. © 2004, The Regents of the University of Minnesota |
|