The return form of arbitrage pricing is a very powerful tool to

来源: marketreflections 于 2010-10-30 06:26:36 [] [博客] [旧帖] [给我悄悄话] 阅读数 : (494 bytes)

http://www.stanford.edu/~japrimbs/Publications/OnBlackScholesEq.pdf

5. An Alternative Derivation 2:
using the Return Form of Arbitrage Pricing
The return form of arbitrage pricing is a very powerful tool to evaluate the derivatives. Using this
tool, the Black-Scholes equation can easily be derived. In addition, this tool has a large range of
applications. For example, the Black-Scholes equation with a dividend case, which is not a
simple problem in the former setting,

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