Chapter 3. The Black–Scholes Model

  1. Wim Schoutens

Published Online: 1 SEP 2003

DOI: 10.1002/0470870230.ch3

Lévy Processes in Finance: Pricing Financial Derivatives

Lévy Processes in Finance: Pricing Financial Derivatives

How to Cite

Schoutens, W. (2003) The Black–Scholes Model, in Lévy Processes in Finance: Pricing Financial Derivatives, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/0470870230.ch3

Author Information

  1. Katholieke Universiteit Leuven, Belgium

Publication History

  1. Published Online: 1 SEP 2003
  2. Published Print: 25 MAR 2003

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470851562

Online ISBN: 9780470870235

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Summary

This chapter contains sections titled:

  • The Normal Distribution

  • Brownian Motion

    • Definition

    • Properties

  • Geometric Brownian Motion

  • The Black–Scholes Option Pricing Model

    • The Black–Scholes Market Model

    • Market Completeness

    • The Risk-neutral Setting

    • The Pricing of Options under the Black–Scholes Model