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#                                                 #
#     Chapter 5: The Black-Scholes Model          #
#           as Continuous Time Limit              #
#             of the Binomial Model               #
#                                                 #
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Summary: It is shown that the Black-Scholes Model can 
be obtained as the continuous time limit of a Binomial 
model with suitable returns. As a consequence, exact 
payoff replication is also possible in the Black-Scholes 
model. More mathematically phrased, the Black-Scholes 
model is a complete model. Furthermore, for a non-path 
dependent option payoff, we derive a one-dimensional 
integral representation for its theoretical fair value, 
for the option price.


pdf-file: Chapter 5: The Black-Scholes Model as
Continuous Time Limit of the Binomial Model



Option Pricing
Time Series Models








Hochschule RheinMain,
Applied Mathematics:


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