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Results tagged with black-scholes
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user 15184
Black-Scholes is a mathematical model used for pricing options.
1
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Bivariate Black-Sholes Model
The error is in the application of Girsanov theorem.
We have multivariate Black-Sholes market, however I apply one-dimensional Girsanov theorem.
I should apply multi-dimensional Girsanov theorem.
T …
- 35
1
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1
answer
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Bivariate Black-Sholes Model
Let us propose bivariate Black-Sholes Model.
Assume, we have an arbitrage-free complete market.
$r_{f}$ is risk-free rate.
Under real-world measure $P$:
$dS_{1} (t)=S_{1} (t) [\mu_{1}dt+\sigma_{1}d …
- 35