Black-Scholes Model, the most famous financial model used in practice, is a continuous time model in which the financial market consists of a risky asset and a riskless asset. The Black–Scholes formula deduced from this model gives the price of European-style options. In this piece, we study the discrete time Black-Scholes Model. A discretization method is introduced in this work and a discrete Black-Scholes formula is determined. Numerical realization of the Black-Scholes formula for arbitrage-free pricing of various options is also achieved.
|Presenter:||Megan Bodekor (The College at Brockport, State University of New York) -- email@example.com
|Topic:||Math and Sciences - Poster Session|
|Location:||Edwards Hall Lobby|
|Time:||9 am (Session I)|
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