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

I. P. van den Berg; F. Koudjeti

Annales mathématiques Blaise Pascal (1997)

  • Volume: 4, Issue: 1, page 93-101
  • ISSN: 1259-1734

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van den Berg, I. P., and Koudjeti, F.. "From binomial expectations to the Black-Scholes formula: the main ideas." Annales mathématiques Blaise Pascal 4.1 (1997): 93-101. <http://eudml.org/doc/79184>.

@article{vandenBerg1997,
author = {van den Berg, I. P., Koudjeti, F.},
journal = {Annales mathématiques Blaise Pascal},
keywords = {binomial distribution; standard normal distribution; expectation; Riemann sums; shadow; Wiener walk; option},
language = {eng},
number = {1},
pages = {93-101},
publisher = {Laboratoires de Mathématiques Pures et Appliquées de l'Université Blaise Pascal},
title = {From binomial expectations to the Black-Scholes formula: the main ideas},
url = {http://eudml.org/doc/79184},
volume = {4},
year = {1997},
}

TY - JOUR
AU - van den Berg, I. P.
AU - Koudjeti, F.
TI - From binomial expectations to the Black-Scholes formula: the main ideas
JO - Annales mathématiques Blaise Pascal
PY - 1997
PB - Laboratoires de Mathématiques Pures et Appliquées de l'Université Blaise Pascal
VL - 4
IS - 1
SP - 93
EP - 101
LA - eng
KW - binomial distribution; standard normal distribution; expectation; Riemann sums; shadow; Wiener walk; option
UR - http://eudml.org/doc/79184
ER -

References

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  12. [12] P.A. Loeb. Conversion from nonstandard to standard measure spaces and applications in probability theory. Trans. Amer. Math. Soc., 211:113-122,1975. Zbl0312.28004MR390154
  13. [13] R. Lutz and M. Goze. Nonstandard analysis: a practical guide with applications, volume 881 of Lecture Notes in Mathematics. Springer verlag, 1981. Zbl0506.03021MR643624
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