James R. Garven
Abstract
This paper provides an alternative derivation of the Black-Scholes call and put option pricing formulas using an integration rather than differential equations approach. The economic and mathematical structure of these formulas is discussed, and comparative statics are derived. 1
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This paper provides an alternative derivation of the Black-Scholes call and put option pricing formulas using an integration rather than differential equations approach. The economic and mathematical structure of these formulas is discussed, and comparative statics are derived. 1
Key concepts: Comparative statics, Black–Scholes model, Mathematical economics, Statics, Valuation of options, Economics, Finite difference methods for option pricing, Mathematics