DOI QR코드

DOI QR Code

Understanding Black-Scholes Option Pricing Model

  • Published : 2007.08.31

Abstract

Theories related to financial market has received big attention from the statistics community. However, not many courses on the topic are provided in statistics departments. Because the financial theories are entangled with many complicated mathematical and physical theories as well as ambiguously stated financial terminologies. Based on our experience on the topic, we try to explain the rather complicated terminologies and theories with easy-to-understand words. This paper will briefly cover the topics of basic terminologies of derivatives, Black-Scholes pricing idea, and related basic mathematical terminologies.

References

  1. 최병선, 김철응 (2003), Black-Scholes 방정식 입문, 세경사
  2. 최병선 (2004). 금융파생상품의 수리적 배경, 세경사
  3. Baxster, M. and Rennie, A. (1996). Financial Calculus: An Introduction to Derivatives Pricing. Cambridge University Press, Cambridge
  4. Bjork, T. (1998). Arbitrage Theory in Continuous Time. Oxford University Press, New York
  5. Black, F. and Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-654 https://doi.org/10.1086/260062
  6. Etheridge, A. (2002). A Course in Financial Calculus. Cambridge University Press, Cambridge
  7. Harrison, J. M. and Kreps, D. M. (1979) Martingales and arbitrage in multiperiod security markets. Journal Economic Theory, 20, 381-408 https://doi.org/10.1016/0022-0531(79)90043-7
  8. Harrison, J. M. and Pliska, S. R. (1981). Martingales and Stochastic integrals in the theory of continuous trading. Stochastic Processes & Their Applications, 11, 215-260 https://doi.org/10.1016/0304-4149(81)90026-0
  9. Hull, J. (1993). Options, Futures and Other Derivative Securities. Prentice Hall
  10. Karatzas, I. and Shreve, S. E. (1998). Brownian Motion and Stochastic Calculus. Springer-Verlag, New York
  11. Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica, 41, 867-887 https://doi.org/10.2307/1913811
  12. Neftci, S. N. (2000). An Introduction to the Mathematics of Financial Derivatives. 2nd ed., Academic Press
  13. Samuelson, P. A. (1965). Rational theory of warrant pricing. Industrial Management Review, 13-31. Reprinted in Cootner (1967), 506-532