FN452 Deriving the Black-Scholes-Merton Equation

2/2016 Thammasat University,
5702640250 Jun Meckhayai
5702640540 Nattakit Chokwattananuwat
5702640722 Pakhuwn Angkahiran
5702640870 Pearadet Mukyangkoon
5702640987 Piseak Pattarabodee

[@saul1629]

you are the man.

[@nnt7592]

I had spent hours replaying my professor's recording but still couldn't get it.
Your video makes me understand the big picture in less than 10 minutes!

[@erenyeager4452]

You need to work on your sigma man.

[@isaaca3849]

Also, can you explain why dPi = r(Pi - delta * S)?

[@lukasgejgus5172]

As far as I understand, the delta-hedged portfolio is instantaneously riskless at time t. Therefore, according to the law of one price, it must earn the riskless rate r.

[@shivang15]

You have to assume risk neutral measure which immediately converts S to r

[@shivang15]

Thank you

[@pankajgarg9275]

Ito's lemma you shown is wrong :/

[@timnba1597]

Great video lads

[@Felo2865]

Hello, can some please explain to me how the delta-hedging portfolie become rPidt

[@bsbs1986]

Move your hand man..

[@ninaliu1686]

tks 4 the great video

[@raultrigo]

Also please can you explain why Delta = dV/dS?? I thought that Delta was the difference between dS's

[@ninaliu1686]

Raul Trigo to eliminate the first term of the equation

[@raultrigo]

@@ninaliu1686 so Delta is a variable and not sn operator????

[@MetalDiffa]

@@raultrigo Delta is the number of shares to be shorted in order for the portfolio V to be risk free.

[@russelmukondwa]

please explain how dt.dz equals dt^3/2

[@vasilis_fr]

cuz dt = ε * (dt^1/2)

[@vcub1996]

oye esa no es la formula

[@DengueBurger]

lmao

[@isaaca3849]

At 3:19, you forgot the expected rate of return in the interaction term (the third part of the equation on the right hand side.)

[@vasilis_fr]

right, and its S^2 i guess ;)

[@kevinmatagaro7211]

This video is pointless if you don't explain justification of Ito's Lemma.

[@callimachust1474]

The video is so cute

[@Kxx51]

really helpful!

[@Icecream-es5tw]

Very simple and easy to COPY

[@SuperXmarvinX]

Sir, you save my life. I am doing my senior project on deriving and using this formula to calculate options prices. I know my undergrad research sounds bland. This is a perfect guide for me. Thank you so much.

[@mukulagarwal1271]

Hey brother ! same here doing a undergrad thesis for calculating option prices. please reply I need some help bro!

[@mktsp2]

You should study theatre. And poetry. Definitely not maths!

[@nikolaykolev5125]

You are rude, prejudiced, unethical, untaktful and probably unhappy.