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Black-Sholes ?

• To: mathgroup at smc.vnet.net
• Subject: [mg15104] Black-Sholes ?
• From: "Yves Gauvreau" <gauy at videotron.ca>
• Date: Sat, 12 Dec 1998 03:59:05 -0500
• Sender: owner-wri-mathgroup at wolfram.com

Hi,

The famous Black-Sholes solution for pricing derivative is based on the
assumption that the log of price returns are normally distributed. Now
suppose that the distribution of stock price returns is not normaly
distributed as many authors suggest. This would meen that we have to
derive a new equation for the derivative taking into account this other
distribution.

Also suppose you have another distribution to investigate. How someone
could approch this problem to find a solution ?

I'm using Mathematica to do math stuff but I'm not an expert in
mathematics.

Thanks

Yves Gauvreau

• Follow-Ups:
  • Re: Black-Sholes ?
    • From: Brian Boonstra <boonstb@cmg.FCNBD.COM>