The pricing kernel and the Black-Scholes formula

Molinari, Franco (2009) The pricing kernel and the Black-Scholes formula. Technical Report 2009/8, Informatica e Studi Aziendali, University of Trento.

Full text available as:
PDF - Requires Adobe Acrobat Reader or other PDF viewer.

Abstract

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.

Keywords:	pricing kernel approach, Black and Scholes model, call option formula
Subjects:	UNSPECIFIED
ID Code:	1800
Deposited By:	Furlani, Paolo
Deposited On:	26 January 2010
Alternative Locations:	http://repec.cs.unitn.it/WP/2009/08.html

Contact the site administrator at : eprints@biblio.unitn.it

University Library System