Intuitive Proof of Black-Scholes Formula Based on Arbitrage and Properties of Lognormal Distribution
General Physics
2007-05-23 v1
Abstract
Presented is intuitive proof of Black-Scholes formula for European call options, which is based on arbitrage and properties of lognormal distribution. Paper can help students and non-mathematicians to better understand economic concepts behind one of the biggest achievements in modern financial theory.
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Cite
@article{arxiv.physics/0612022,
title = {Intuitive Proof of Black-Scholes Formula Based on Arbitrage and Properties of Lognormal Distribution},
author = {Alexei Krouglov},
journal= {arXiv preprint arXiv:physics/0612022},
year = {2007}
}
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7 pages