Black-Scholes without stochastics or PDEs
@inproceedings{Martin2023BlackScholesWS,
title={Black-Scholes without stochastics or PDEs},
author={R J Martin},
year={2023}
}We show how to derive the Black-Scholes model and its generalisation to the `exchange-option' (to exchange one asset for another) via the continuum limit of the Binomial tree. No knowledge of stochastic calculus or partial differential equations is assumed, as we do not use them.
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