Modelling of option price using Black-Scholes formula
کد مقاله : 1012-FEMATH-FULL
نویسندگان:
1پریسا نباتی *، 2سپیده نریمانی چهاربرج
1هیات علمی
2ارومیه جاده بند دانشگاه صنعتی ارومیه
چکیده مقاله:
In this paper we motivate the use of stochastic differential equations in economics and finance. Financial processes as processes in nature, are subject to stochastic fluctuation. Stochastic differential equations turn out to be an advantageous representation of such noisy, real world problems, and they play an important role in the sector of finance. The Black-Scholes model for calculating the premium of an option was introduced in 1973. Several alternatives lead to pricing model are equal to Black-Scholes one. This model is a mathematical model of a financial market containing derivative investment instruments that was developed to calculate an economic value for options which is fair to both the buyer and seller. This paper is organized as follows. Some definitions about finance and the Black-Scholes option pricing formula are investigated in section 2. The analytical and numerical solution of stochastic differential equation for the stock price that follows the geometric brownian motion are presented in section 3. Finally we examine the accuracy of the present work with example in section 4.
کلیدواژه ها:
Geometric Brownian Motion, Option Price, Stock Price, Stochastic differential equation.
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