2015Journal of Shaoguan UniversityRequires access

An Overview of the Deductive Method and Extensions of Black-Scholes Formula

Wang Ming-hu

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Abstract

From the background of theory and assumed condition of Black-Scholes formula, the paper first introduces the derivation of the option pricing formula, then it recommends several deductive approaches used by scholars from home and abroad, finally it presents the promotion of the Black-Scholes model from two aspects,namely the easing of the assumptions and the expansion of the option model.

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What this paper is about

From the background of theory and assumed condition of Black-Scholes formula, the paper first introduces the derivation of the option pricing formula, then it recommends several deductive approaches used by scholars from home and abroad, finally it presents the promotion of the Black-Scholes model from two aspects,namely the easing of the assumptions and the expansion of the option model.

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Available abstract

From the background of theory and assumed condition of Black-Scholes formula, the paper first introduces the derivation of the option pricing formula, then it recommends several deductive approaches used by scholars from home and abroad, finally it presents the promotion of the Black-Scholes model from two aspects,namely the easing of the assumptions and the expansion of the option model.

Key concepts: Black–Scholes model, Mathematical economics, Mathematics, Promotion (chess), Economics, Econometrics, Volatility (finance), Law

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