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Can the PDE of Black and Scholes really be derived from the CAPM?

I was looking at this just this morning. It can be derived from CAPM, depending on what is meant by 'the market', in addition to some other (simplifying) assumptions which I write below: So let's ...
Frido's user avatar
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Balland - SABR goes normal

Found it by rewriting the model with a 2-dimensional Brownian motion (i.e. vector of independent Brownian components) $$ \begin{cases} d S_t = \sigma_t \varphi \left(S_t\right) d \tilde{W}_t^1 \\ d \...
siou0107's user avatar
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