Sergio M. Focardi, Frank J. Fabozzi, Turan G. Bali
Abstract
This chapter contains sections titled: Introduction The Intuition behind Stochastic Differential Equations Itô Processes Stochastic Differential Equations Generalization to Several Dimensions Solution of Stochastic Differential Equations Derivation of Itô's Lemma Derivation of the Black-Scholes Option Pricing Formula Key Points
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This chapter contains sections titled: Introduction The Intuition behind Stochastic Differential Equations Itô Processes Stochastic Differential Equations Generalization to Several Dimensions Solution of Stochastic Differential Equations Derivation of Itô's Lemma Derivation of the Black-Scholes Option Pricing Formula Key Points
Key concepts: Stochastic differential equation, Stochastic partial differential equation, Runge–Kutta method, Mathematics, Lemma (botany), Generalization, Applied mathematics, Differential algebraic equation