Title :
The essence of B-S Options Pricing Formula
Author_Institution :
Econ. & Trade Sch., Hunan Bus. Univ., Changsha, China
Abstract :
At first, based on B-S Options Pricing Formula this paper deduce the discrete Options Pricing formula. Comparing the price determined by B-S Option pricing formula and the data simulated by Monte Carlo experiment, we can deduce that the above conclusion is correct.
Keywords :
Monte Carlo methods; pricing; B-S options pricing formula; Monte Carlo experiment; discrete options pricing formula; Equations; Europe; Mathematical model; Monte Carlo methods; Portfolios; Pricing; Security; Call Options; Loss; Monte Carlo; Risk-free portfolio;
Conference_Titel :
Electrical and Control Engineering (ICECE), 2011 International Conference on
Conference_Location :
Yichang
Print_ISBN :
978-1-4244-8162-0
DOI :
10.1109/ICECENG.2011.6057435
