Black-Scholes model market price coefficient of variation Garman-Kohlhagen model programming environment MATHEMATICA
Institute of Mathematics and Informatics at the Bulgarian Academy of Sciences
Pliska Studia Mathematica Bulgarica, Vol. 23, No 1, (2014), 141p-158p
In this paper we propose new modules in programming environment MATHEMATICA for the generalizations of Black-Scholes (BS) model taking into account the market price and coefficient of variation. First we derive generalization of Black-Scholes PDE and present its explicit solution. Then we derive the Garman-Kohlhagen’s model as generalization of BS model. The proposed modules gives the possibility for visualization and hypersensitive analysis. 2000 Mathematics Subject Classification: 65M12, 65Y20.