Consider a market made of a riskless asset priced (A_{t}=A_{0}) with zero interest rate, (t geqslant 0),
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Consider a market made of a riskless asset priced \(A_{t}=A_{0}\) with zero interest rate, \(t \geqslant 0\), and a risky asset whose price modeled by a standard Brownian motion as \(S_{t}=B_{t}, t \geqslant 0\). Price the vanilla option with payoff \(C=\left(B_{T}ight)^{2}\), and recover the solution of the Black-Scholes PDE of Exercise 6.1.
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Related Book For
Introduction To Stochastic Finance With Market Examples
ISBN: 9781032288277
2nd Edition
Authors: Nicolas Privault
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