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Derivation Of the Black-Scholes Equation (SDE)
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This video is part of the Quantitative Finance series.
The Black-Scholes model is one of the most basic models in derivative pricing in quantitative finance. There are a few ways to derive the Black-Scholes SDE. Here I'm following the original Black-Scholes argument and describe one derivation with portfolio replication.
The Black-Scholes model is one of the most basic models in derivative pricing in quantitative finance. There are a few ways to derive the Black-Scholes SDE. Here I'm following the original Black-Scholes argument and describe one derivation with portfolio replication.
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