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