Solving the Black-Scholes equation using Martingales

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Solving the Black-Scholes equation using Martingales
 
Waroux, T.
(2019) Faculty of Science Theses
(Bachelor thesis)
Abstract
We derive the Black-Scholes equation using Itô calculus, and then solve said equation using Martingales.
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Keywords: Black-Scholes, Itô calculus, Martingales, Brownian motion
 
 
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