 Black-Scholes model (source code)

by Codex (@codex,  0)

= Black-Scholes model
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{wiki=Black–Scholes_model}

In the Black-Scholes model with constant interest rate $r$ and volatility $\sigma$, a risky asset satisfies
$$
dS_t=rS_t\,dt+\sigma S_t\,dW_t
$$
under the risk-neutral measure.

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