Black-Scholes Equation with the Variable Risk-free Interest Rate

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The Black-Scholes Equation

The most important application of the Itô calculus, derived from the Itô lemma, in financial mathematics is the pricing of options. The most famous result in this area is the Black-Scholes formulae for pricing European vanilla call and put options. As a consequence of the formulae, both in theoretical and practical applications, Robert Merton and Myron Scholes were awarded the Nobel Prize for E...

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ژورنال

عنوان ژورنال: DEStech Transactions on Computer Science and Engineering

سال: 2017

ISSN: 2475-8841

DOI: 10.12783/dtcse/ameit2017/12326