Graduate Analysis Seminar
Venu Tammali
UIC
Analysis of Black-Scholes equation
Abstract: We will first develop the tools needed for deriving the Black-Scholes equation, such as Brownian process, Ito calculus, etc. Then we will derive the equation. Finally we will give a risk neutral measure for option pricing as an alternative to the Black-Scholes equation.
Monday April 1, 2013 at 3:00 PM in SEO 512