Deriving the Black-Scholes Formula with the Risk-neutral Hypothesis
LI Mei-rong · Journal of Hefei Teachers College · 2008
The derivation of Black-Scholes option pricing formula is very complicated,and it needs some advanced mathematical knowledge such as stochastic process,stochastic differential equation.This paper provides two kinds of simple methods of deriving Black-Scholes option pricing formula with the risk-neutral hypothesis that enable more readers only with elementary probability theory and integral calculus to understand.