Title page for etd-1207109-143842


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URN etd-1207109-143842
Author Cho-Ming Tseng
Author's Email Address No Public.
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Department Applied Mathematics
Year 2009
Semester 1
Degree Master
Type of Document
Language English
Title Derivation of Black-Scholes formula
Date of Defense 2009-06-16
Page Count 31
Keyword
  • risk-neutral valuation
  • Ito’s formula
  • change of numeraire
  • Abstract The Black-Scholes European option pricing formula can be derived in several ways. In this dissertation we present several methods that can be used to derive
    this formula, including partial differential equation method, the risk-neutral pricing method, the martingale measure method, and the change of numeraire technique
    Advisory Committee
  • Jen-Chih Yao - chair
  • Lai-Jiu Lin - co-chair
  • Ngai-Ching Wong - co-chair
  • Ngai-Ching Wong - co-chair
  • Hong-Kun Xu - advisor
  • Files
  • etd-1207109-143842.pdf
  • indicate not accessible
    Date of Submission 2009-12-07

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