thm. BSM Derivative Pricing. Generalized pricing of any derivative. Using different constraints, one can price any derivative.


  • is the price of the derivative at time
  • is a Geometric Brownian Motion s.t. with a standard brownian motion
    • is the scale of process
    • is the drift of process
    • is the rate of return of process
    • is the dividend rate (any dividend is immediately reinvested)
  • is the Discount Rate