Chapter

Multidimensional Models: Classical Approach

Tomas Björk

in Arbitrage Theory in Continuous Time

Second edition

Published in print March 2004 | ISBN: 9780199271269
Published online October 2005 | e-ISBN: 9780191602849 | DOI: http://dx.doi.org/10.1093/0199271267.003.0013

Series: Oxford Finance Series

Multidimensional Models: Classical Approach

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This chapter generalizes the Black-Scholes model to the case where, apart from the risk free asset, there are several underlying risky assets. The analysis is carried out using the “classical” delta-hedging approach. Practice exercises are included.

Keywords: Black-Scholes model; asset; risk; pricing; delta-hedging approach

Chapter.  7154 words. 

Subjects: Financial Markets

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