The Easiest Way to Derive the Black-Scholes Model

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In this video, we are going to derive the Black-Scholes formula via a delta-hedging argument. We'll construct a portfolio consisting of one option and some underlying shares and try to make the portfolio risk-free by eliminating the option's risk.

In the video, I'm using such concepts as the lognormal random walk, Ito's lemma and stochastic calculus.

If you have any questions or suggestions, feel free to let me know. Thank you for watching!