Black-Scholes equation

by Nikolai Shokhirev

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(In progress . . . )

Assumptions:

 * The price of the underlying instrument St follows a geometric Brownian motion with constant drift μ and volatility σ:

* It is possible to short sell the underlying stock.
* There are no arbitrage opportunities.
* Trading in the stock is continuous.
* There are no transaction costs or taxes.
* All securities are perfectly divisible.
* It is possible to borrow and lend cash at a constant risk-free interest rate r.

Program

 Info 

Prices, Greeks

Plots

Here I reproduced well-known results (see e.g. [1]) using my libraries. Feel free to download and play (at your own risk).

I am adding several new features, please check later.

Downloads

Black-Scholes pricing program.

Links

  1. BlackScholes (From Wikipedia, the free encyclopedia) http://en.wikipedia.org/wiki/Black-Scholes
  2. Greeks, by Liuren Wu http://faculty.baruch.cuny.edu/lwu/9797/Lec7.pdf
  3. Discrete Artificial Boundary Conditions for the Black-Scholes... http://finance.wharton.upenn.edu/~benninga/mma/MiER64.pdf
  4. Binomial Option Pricing, the Black-Scholes Option Pricing Formula http://finance.wharton.upenn.edu/~benninga/mma/MiER64.pdf
 

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