The pricing kernel and the Black-Scholes formula

Molinari, Franco (2009) The pricing kernel and the Black-Scholes formula. UNSPECIFIED.

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    This note provides an introduction to the pricing kernel methodology for financial derivatives. In order to illustrate the pricing kernel approach we apply it to the Black and Scholes model and obtain the famous Black and Scholes formula for the fair price of an European call option.

    Item Type: Departmental Technical Report
    Department or Research center: Computer and management sciences
    Subjects: UNSPECIFIED
    Uncontrolled Keywords: pricing kernel approach, Black and Scholes model, call option formula
    Report Number: 2009/8
    Repository staff approval on: 26 Jan 2010

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