Black-Scholes equation

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The Black-Scholes equation for the value of an option, V(S,t), on an equity is

\frac{\partial V}{\partial t}+\frac{1}{2} \sigma^2 S^2 \frac{\partial^2 V}{\partial S^2}+rS\frac{\partial V}{\partial S} -rV=0.

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References

  • Black, F & Scholes, M 1973 The pricing of options and corporate liabilities. Journal of Political Economy 81 637-59
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See Also

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