On an Implementation of Black‑Scholes Model for Estimation of Call- and Putoption via Programming Environment MATHEMATICA
Copyright policy ) Angela Slavova; Nikolay Kyurkchiev;
On an Implementation of Black‑Scholes Model for Estimation of Call- and Putoption via Programming Environment MATHEMATICA
In this paper we propose a new module in programming environment MATHEMATICA for the Black‐Scholes model taking into account the sensitivity coecients. First we derive Black‐Scholes PDE and present its explicit solution. Then we propose the sensitivity coecients
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