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# Chapter 5: The Black-Scholes Model #
# as Continuous Time Limit #
# of the Binomial Model #
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Summary: It is shown that the Black-Scholes Model can
be obtained as the continuous time limit of a Binomial
model with suitable returns. As a consequence, exact
payoff replication is also possible in the Black-Scholes
model. More mathematically phrased, the Black-Scholes
model is a complete model. Furthermore, for a non-path
dependent option payoff, we derive a one-dimensional
integral representation for its theoretical fair value,
for the option price.
pdf-file: Chapter 5: The Black-Scholes Model as
Continuous Time Limit of the Binomial Model