IDEAS home Printed from https://ideas.repec.org/a/ula/econom/v26-27y2001-2002i17-18p163-179.html
   My bibliography  Save this article

Final price conservation law in the Black Scholes mode

Author

Listed:
  • 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.

Suggested Citation

  • Sukhomlin Nikolay, 2001. "Final price conservation law in the Black Scholes mode," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 26(17-18), pages 163-179, January-D.
    • Handle: RePEc:ula:econom:v:26-27:y:2001-2002:i:17-18:p:163-179
    as

    Download full text from publisher

    File URL: ftp://iies.faces.ula.ve/Pdf/Revista17-18/Rev17-18Nikolay.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Black Scholes Model; Black Scholes “Classic” Solution; auxiliary Characteristic “Psi”; Conservation Laws.;
    All these keywords.

    Lists

    This item is featured on the following reading lists, Wikipedia, or ReplicationWiki pages:
    1. Nikolay Sukhomlin in Wikipedia English

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ula:econom:v:26-27:y:2001-2002:i:17-18:p:163-179. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alexis Vásquez (email available below). General contact details of provider: https://edirc.repec.org/data/iiulave.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.