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Final price conservation law in the Black Scholes mode

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  • Sukhomlin Nikolay

    ()
    (Universidad Autónoma de Santo Domingo, República Dominicana, Departamento de Física, Pontificia Universidad Católica Madre y Maestra, Santo Domingo, República Dominicana, Departamento de Economía.)

Abstract

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.

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Bibliographic Info

Article provided by Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela in its journal Economía.

Volume (Year): 26-27 (2001-2002)
Issue (Month): 17-18 (January-December)
Pages: 163-179

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Handle: RePEc:ula:econom:v:26-27:y:2001-2002:i:17-18:p:163-179

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Keywords: Black Scholes Model; Black Scholes “Classic” Solution; auxiliary Characteristic “Psi”; Conservation Laws.;

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