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Title: Programme Packages for Implementation of Modifications of Black-Scholes Model and web Applications
Authors: Slavova, Angela
Kyurkchiev, Nikolay
Keywords: Black-Scholes model
market price
coefficient of variation
Garman-Kohlhagen model
programming environment MATHEMATICA
Issue Date: 2014
Publisher: Institute of Mathematics and Informatics at the Bulgarian Academy of Sciences
Citation: Pliska Studia Mathematica Bulgarica, Vol. 23, No 1, (2014), 141p-158p
Abstract: 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.
Description: [Slavova Angela; Славова Анжела]; [Kyurkchiev Nikolay; Кюркчиев Николай]
ISSN: 0204-9805
Appears in Collections:2014 Volume 23

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