<t>QuoteOriginally posted by: yktsuiBut I saw his proof for the Lemma seems skipped some step which I don't understood...He said: [$]u(x)[$][$]= u(a) + xu'(x) - au'(a) + \int_{x}^{a}Ku''(K)dK[$]By Considering the cases x < a and x > a[$]= u(a) + u'(a)(x-a) + \int_{inf I}^{a}u''(K)(K-x)_{+}dK + \int_...

<r>Another proof of the same result can be found in <URL url="http://feb.kuleuven.be/drc/AFI/research/AFIInsuranceFolder/InsurancePapers/afi-1377.pdf"><LINK_TEXT text="http://feb.kuleuven.be/drc/AFI/research ... i-1377.pdf">http://feb.kuleuven.be/drc/AFI/research/AFIInsuranceFolder/InsurancePapers/a...

<t>QuoteOriginally posted by: bearishQuoteOriginally posted by: LindersDThe answer to your first question is "well, ummm, eh, sort of", which also provides a clue to the second question. The reason we so much like to teach Black Scholes via the binomial model is that it can all be done with pretty e...

<t>Dear Members,Any quant finance course introducing Black Scholes will start with the Binomial Tree model. In a next step, the limiting, continuous case, is considered and then one can price and hedge options. Most textbooks considering also multi-asset derivatives will use the multivariate version...