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.


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.


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


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