Search results with tag "The black scholes formula for a european call"

1 The Black-Scholes Formula for a European Call or Put

For the purpose of illustrating the idea of hedging, we have assumed δσand δtare of the same order, otherwise, there are further expansions of those derivatives with respect to δσ. Here, we neglect higher order terms, e.g. O(δtδσ). Therefore, the …

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