@inbook{25268a9974ed4d4284c756d7cbe46775,
title = "An Initial Attempt at Pricing an Option",
abstract = "This chapter uses the concepts developed in Chap. 2 to illustrate the problem of option pricing as a discounted expected option payoff. By assuming that investors are risk neutral and using the Kolmogorov equation for the conditional probability, we demonstrate how the Black–Scholes option formula can be arrived. We also illustrate how the option price can be viewed in a quite natural way as a martingale and the Feynman–Kac formula, two very important concepts of continuous time finance.",
keywords = "Discount Cash Flow, Kolmogorov Equation, Option Price, Risk Free Rate, Stock Price",
author = "Carl Chiarella and He, {Xue Zhong} and Nikitopoulos, {Christina Sklibosios}",
note = "Publisher Copyright: {\textcopyright} 2015, Springer-Verlag Berlin Heidelberg.",
year = "2015",
doi = "10.1007/978-3-662-45906-5_3",
language = "English",
series = "Dynamic Modeling and Econometrics in Economics and Finance",
publisher = "Springer Science and Business Media Deutschland GmbH",
pages = "37--53",
booktitle = "Dynamic Modeling and Econometrics in Economics and Finance",
}