Final price conservation law in the Black Scholes mode.
The main result of this paper is the construction of the Black-Scholes model Conservation Law. We introduce the new “Greek” characteristic “psi” which is very effective to define the conservation of the final price. Also it is the Green function and the factor in several solutions of the Black-Scholes equation. We propose an Experimental Method to measure of the Volatility. We show important role of the Elasticity-price in this model and we construct the Symmetry Operator corresponding to the Black-Scholes “Classic” Solution.
| Authors: | Nikolay, Sukhomlin |
|---|---|
| Published in: |
Economía. - Instituto de Investigaciones Económicas y Sociales, ISSN 1315-2467. - Vol. 26-27, 17-18, p. 163-179
|
| Publisher: |
Instituto de Investigaciones Económicas y Sociales |
| Subject: | Black Scholes Model | Black Scholes “Classic” Solution | auxiliary Characteristic “Psi” | Conservation Laws |
Saved in:
Saved in favorites
Similar items by subject
-
Block-pulse operational matrix method for solving fractional Black-Scholes equation
Mehrdoust, Farshid, (2017)
-
Financial market disruption and investor awareness : the case of implied volatility skew
Siddiqi, Hammad, (2022)
-
Approximate series solutions of a one-factor term structure model for bond pricing
Edeki, Sunday Onos, (2021)
- More ...