Derivatives Pricing

Black-Scholes-Merton
By Steven J. Grisafi, PhD.

I address some criticism of the Black-Scholes-Merton derivatives pricing model. I reformulate the boundary value problem eliminating the ill-posed initial condition. The reformulation provides a valuation amplification function that is useful and valid at time zero when an options contract bet is placed. Please read the report here.

Leave a Reply

Your email address will not be published.