Black-Scholes/Merton Simulation

Keith A. Lewis

August 12, 2025

V_t = (\Delta_t + \Gamma_t)\cdot X_t.

A_t = \Delta_t\dot C_t - \Gamma_t\cdot X_t.

V_t D_t = (\sum_{u > t} A_u D_u)|_t