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.
The Pricing Kernel and the Black-Scholes Formula / Molinari, Franco. - ELETTRONICO. - (2009), pp. 1-12. [10.15168/11572_78854]
The Pricing Kernel and the Black-Scholes Formula
Molinari, Franco
2009-01-01
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.File in questo prodotto:
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