by Nikolai Shokhirev

** ABC Tutorials**

Up: ABC Quantitative analysis

(In progress . . . )

* The price of the underlying instrument *S _{t}* 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*.

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.

Black-Scholes pricing program.

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

** ABC Tutorials**

Up: ABC Quantitative analysis

ŠNikolai Shokhirev, 2006-2011