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Arbitrage Theory in Continuous Time$
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Tomas Björk

Print publication date: 2004

Print ISBN-13: 9780199271269

Published to Oxford Scholarship Online: October 2005

DOI: 10.1093/0199271267.001.0001

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Multidimensional Models: Classical Approach

Multidimensional Models: Classical Approach

Chapter:
(p.175) 13 Multidimensional Models: Classical Approach
Source:
Arbitrage Theory in Continuous Time
Author(s):

Tomas Björk (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0199271267.003.0013

This chapter generalizes the Black-Scholes model to the case where, apart from the risk free asset, there are several underlying risky assets. The analysis is carried out using the “classical” delta-hedging approach. Practice exercises are included.

Keywords:   Black-Scholes model, asset, risk, pricing, delta-hedging approach

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