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Paper / 2024SMQ / 139575860082906
On the Local equivalence of the Black Scholes and the Merton Garman equations
Ivan Arraut
mathematical financeResource overview

On the Local equivalence of the Black Scholes and the Merton Garman equations

Paper2024

by Ivan Arraut

Tags
mathematical finance

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

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  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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