Comment on the Black-Scholes Pricing Problem

Reply to Mikheev’s Comment on the Black-Scholes Pricing Problem

Numerical Solutions for Fractional Black-Scholes Option Pricing Equation

In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.

Binomial Option Pricing and Black-scholes

This paper aims to investigate the assumptions under which the binomial option pricing model converges to the Black-Scholes formula. The results are not original; the paper mostly follows the outline of Cox, Ross, and Rubenstein[1]. However, the convergence is treated in greater detail than I have found elsewhere in the literature. This exercise clarifies the assumptions behind the binomial mod...

Black Scholes Option Pricing with Stochastic Returns on Hedge Portfolio

The Black Scholes model of option pricing constitutes the cornerstone of contemporary valuation theory. However, the model presupposes the existence of several unrealistic and rigid assumptions including, in particular, the constancy of the return on the “hedge portfolio”. There, now, subsists ample justification to the effect that this is not the case. Consequently, several generalisations of ...

The Black-Scholes-Merton Approach to Pricing Options