Black Scholes Pricing and Dynamic Hedging I

3 Pages Posted: 27 Aug 2011 Last revised: 10 Oct 2011

Date Written: August 27, 2011

Abstract

Here we present some critical remarks on a popular derivation of the Black Scholes pricing equation.

Keywords: Black Scholes equation, hedge

JEL Classification: G12

Suggested Citation

Gikhman, Ilya I., Black Scholes Pricing and Dynamic Hedging I (August 27, 2011). Available at SSRN: https://ssrn.com/abstract=1918014 or http://dx.doi.org/10.2139/ssrn.1918014

Ilya I. Gikhman (Contact Author)

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Mason, OH 45040
513-573-9348 (Phone)

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