Jurassic


Total Posts: 405 
Joined: Mar 2018 


Whats the easiest method to solve the Black Scholes equation (ie easiest to memorise for interviews)? 



nikol


Total Posts: 1345 
Joined: Jun 2005 


upgrade the memory or just understand every deriving step. If you do, the rest is easy. 
... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c) 

bullero


Total Posts: 75 
Joined: Feb 2018 

 
bandi_np


Total Posts: 10 
Joined: Nov 2020 


An easy way is to: 1) "Solve" the SDE using ItÃ´ calculus (BS: use log) 2) Get the distribution for the underlying using 1) 3) Compute the expectation using 2) (simple gaussian expectation)
Maybe, you can start with the Bachelier model or arithmetic Brownian motion.
What is bullero saying is the apporximate value of the ATM option:


