Derivation of the Black-Scholes Option-Pricing Model Harvard Case Solution & Analysis

This note is the Black-Scholes option-pricing model. It covers the basic assumptions necessary to derive the equation. In addition, it provides arbitrage conditions used Black and Scholes in simple terms. Basic stochastic differential equation is derived, and the boundary conditions are given for the evaluation of European call option.
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by Robert M. Conroy Source: Darden School of Business 5 pages. Publication Date: March 29, 1991. Prod. #: UV0457-PDF-ENG

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