n Annual Proceedings of the South African Statistical Association Conference - A "statistical" derivation of the price of a call option

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Details of the final steps in the derivation of the Black-Scholes call option price and the corresponding hedge ratios are rarely given in typical introductory-level finance textbooks. Readers are often informed that "... the result follows by standard calculus...". In this paper it is shown how the missing details can be filled in by using simple statistical, as opposed to calculus, methods. Nothing more than second-year university level statistics is required to understand the methodology.

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