From binomial expectations to the Black-Scholes formula: The main ideas

DOI10.5802/AMBP.91zbMath0895.60020OpenAlexW2320524827MaRDI QIDQ1364725

F. Koudjeti, I. P. Van den Berg

Publication date: 6 October 1997

Published in: Annales Mathématiques Blaise Pascal (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AMBP_1997__4_1_93_0

zbMATH Keywords

shadowoptionbinomial distributionexpectationRiemann sumsWiener walkstandard normal distribution

Mathematics Subject Classification ID

Distribution theory (60E99)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading
• A non-standard representation for Brownian motion and Ito integration
• Nonstandard analysis. A practical guide with applications
• Radically Elementary Probability Theory. (AM-117)
• Conversion from Nonstandard to Standard Measure Spaces and Applications in Probability Theory
• Internal set theory: A new approach to nonstandard analysis
• A Nonstandard Approach to Option Pricing
• Option pricing: A simplified approach
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