most citedLong- and short-time asymptotics of the first-passage time of the Ornstein-Uhlenbeck and other mean-reverting processes

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q-fin.PR2023

Black-Scholes without stochastics or PDEs

Richard J. Martin

We show how to derive the Black-Scholes model and its generalisation to the `exchange-option' (to exchange one asset for another) via the continuum limit of the Binomial tree. No k…