TY - JOUR
T1 - Alternative methods to derive the black-scholes-merton equation
AU - Phewchean, Nattakorn
AU - Costa, Renato
AU - Misiran, Masnita
AU - Lenbury, Yongwimon
N1 - Publisher Copyright:
© 2020, North Atlantic University Union NAUN. All rights reserved.
PY - 2020
Y1 - 2020
N2 - We investigate the derivation of option pricing involving several assets following the Geometric Brownian Motion (GBM). First, we propose some derivations based on the basic ideas of the assets. Next, we consider the trivial case where we have n assets. Finally, we consider different drifts, volatilities and Wiener processes but now from n stochastic assets taking into account a fixed-income.
AB - We investigate the derivation of option pricing involving several assets following the Geometric Brownian Motion (GBM). First, we propose some derivations based on the basic ideas of the assets. Next, we consider the trivial case where we have n assets. Finally, we consider different drifts, volatilities and Wiener processes but now from n stochastic assets taking into account a fixed-income.
KW - Black-Scholes-Merton equation
KW - Fixed income
KW - Option pricing
KW - Stochastic asset
UR - http://www.scopus.com/inward/record.url?scp=85097209741&partnerID=8YFLogxK
U2 - 10.46300/9106.2020.14.106
DO - 10.46300/9106.2020.14.106
M3 - Article
AN - SCOPUS:85097209741
SN - 1998-4464
VL - 14
SP - 821
EP - 825
JO - International Journal of Circuits, Systems and Signal Processing
JF - International Journal of Circuits, Systems and Signal Processing
ER -