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Brownian Motion, Itô Lemma and the Black–Scholes–Merton Model

Satya R. Chakravarty (Indian Statistical Institute, India)

Palash Sarkar (Indian Statistical Institute, India)

ISBN: 978-1-78973-894-0, eISBN: 978-1-78973-893-3

Publication date: 20 August 2020

Chakravarty, S.R. and Sarkar, P. (2020), "Brownian Motion, Itô Lemma and the Black–Scholes–Merton Model", An Introduction to Algorithmic Finance, Algorithmic Trading and Blockchain, Emerald Publishing Limited, Leeds, pp. 25-34. https://doi.org/10.1108/978-1-78973-893-320201005

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Emerald Publishing Limited