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.
Volume (Year): 26-27 (2001-2002)
Issue (Month): 17-18 (January-December)
|Contact details of provider:|| Postal: |
Phone: +58 74 401111 ext. 1081
Fax: +58 74 401120
Web page: http://iies.faces.ula.ve/
More information through EDIRC
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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alexis Vásquez)
If references are entirely missing, you can add them using this form.