The black scholes model: a journey through stochastic calculus
Eleni, Fabio (A.A. 2018/2019) The black scholes model: a journey through stochastic calculus. Tesi di Laurea in Matematica finanziaria, Luiss Guido Carli, relatore Gabriella Foschini, pp. 149. [Bachelor's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Introduction to options. Properties of financial options. Fundamentals of option valuation. The binomial option pricing model in discrete time. Stochastic processes. Applications of brownian motion to finance. Stochastic calculus. The black-scholes model. Heat equation and black-scholes. Empirically testing the model.
References
Bibliografia: pp. 147-149.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Management (L-18) |
| Chair: | Matematica finanziaria |
| Thesis Supervisor: | Foschini, Gabriella |
| Academic Year: | 2018/2019 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 03 Oct 2019 08:36 |
| Last Modified: | 03 Oct 2019 08:36 |
| URI: | https://tesi.luiss.it/id/eprint/24611 |
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