Lecture 11: Continuous Time Option Pricing

The price process of the European call option is denoted C, where . A derivation of the Black-Scholes PDE. 1st – a trading strategy is self financing if it generates no dividends (positive or negative) for any time t in 0 < t < T. Let at be the holdings of the stock at time t and bt be the holdings of the riskless bond. ................
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