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Easiest and most accessible derivation of Black-Scholes formula
I am preparing a QuantFinance lecture and I am looking for the easiest and most accessible derivation of the Black-Scholes formula (NB: the actual formula, not the differential equation).
My favorite ...
6
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1answer
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What is a self-financing and replicating portfolio?
I try to understand the derivation of the Black-Scholes equation based on the "constructing a replicating portfolio".
From mathematical point of view it looks simple. We assume that:
Stock prices ...
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vote
1answer
316 views
derivation of formula for portfolio skewness and kurtosis
Where can I find derivation of formula for portfolio skewness and kurtosis? I can find formulas everywhere, but not their derivations?
For example, the portfolio variance formula is well known and I ...
