The Henstock integral and the Black-Scholes theory of derivative asset pricing (Q1852356)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The Henstock integral and the Black-Scholes theory of derivative asset pricing |
scientific article; zbMATH DE number 1848824
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Henstock integral and the Black-Scholes theory of derivative asset pricing |
scientific article; zbMATH DE number 1848824 |
Statements
The Henstock integral and the Black-Scholes theory of derivative asset pricing (English)
0 references
5 January 2003
0 references
The classical Black-Scholes-Merton method for pricing European call options uses the Ito calculus to model the process involved. It is shown how to model a stochastic process using Henstock integrands instead of Ito differentials (or stochastic integrals). It is also shown how to derive the Black-Scholes partial differential equation and pricing formulae using elementary methods.
0 references
Black-Scholes theorem
0 references
option
0 references
derivative
0 references
Henstock integral
0 references
