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Lecture
Asset Pricing: Dynamic Arbitrage Pricing & Black-Scholes Formula
Description
This lecture covers the first theorem of asset pricing in a discrete time economy with risky assets, self-financing portfolios, and stochastic discount factors. It also explores Cox, Ross, and Rubinstein's derivation of the Black-Scholes formula as a limit of the discrete time binomial model, focusing on multiple periods and complete markets.
Official source
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