What is the first known paper which derives the Black-Scholes valuation formula for an option (1973) using martingale machinery - instead of PDEs?
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asked Dec 1, 2022 at 1:24
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2$\begingroup$ I guess the first formal treatment of the martingale approach might be Harrison and Kreps (1979). Cox and Ross (1976) also have very early work on risk-neutral pricing. $\endgroup$– KevinDec 1, 2022 at 8:07
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$\begingroup$ Does this answer your question? Online sources for quantitative finance research $\endgroup$– AlperDec 2, 2022 at 8:43
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$\begingroup$ See a modern martingale based derivation papers.ssrn.com/sol3/papers.cfm?abstract_id=2631772 $\endgroup$– gobbledygookDec 12, 2022 at 18:04
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