The Black-Scholes model and valuation of the European Call option

Lazarova, Limonka and Miteva, Marija and Stojkovic, Natasa (2012) The Black-Scholes model and valuation of the European Call option. Yearbook of the Faculty of Computer Science, 1 (1). ISSN 1857- 8691

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Official URL: http://js.ugd.edu.mk/index.php/YFCS/article/view/3...

Abstract

In this paper will be considered the simple continuous time model of Black-Scholes. The Black-Scholes formula for valuation of the European Call Option will be shown. It will be given a review of the background of this model and also the basic concepts of stochastic or Ito calculus that are necessary to explore the model.

Item Type: Article
Subjects: Natural sciences > Matematics
Divisions: Faculty of Computer Science
Depositing User: Marija Miteva
Date Deposited: 01 Oct 2013 13:54
Last Modified: 01 Oct 2013 13:54
URI: http://eprints.ugd.edu.mk/id/eprint/7606

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