Venu Tammali : Analysis of Black-Scholes equation

Posted by Karen Zaya , part of the Graduate Analysis Seminar.

At

April 1, 2013, 3 p.m.

In

SEO 512

Abstract

We will first develop the tools needed for deriving the Black-Scholes equation, such as Brownian process, Ito calculus, etc. Then we will derive the equation. Finally we will give a risk neutral measure for option pricing as an alternative to the Black-Scholes equation.