Black scholes model with the radon nikodym derivative

  • Jadé Dieteren Jadé Dieteren

This research concerns valuing European options. The goal of this paper is to explain how to implement the Black Scholes model for option valuation. We calculate the expected value of the options and of the Radon Nikodym derivative, which is a random variable. Furthermore, we use that for large number of N (number of paths) in a Monte Carlo simulation, the call or put option price at time t under the risk neutral measure Q, is equal to the option price at time t under the probability measure P multiplied by the Radon Nikodym derivative.

Netspar, Network for Studies on Pensions, Aging and Retirement, is a thinktank and knowledge network. Netspar is dedicated to promoting a wider understanding of the economic and social implications of pensions, aging and retirement in the Netherlands and Europe.


Mission en strategy           •           Network           •           Organisation           •          Magazine
Board Brief            •            Actionplan 2023-2027           •           Researchagenda


Our partners

B20160708_tilburg university
View all partners