Black-Scholes equation

by Nikolai Shokhirev

ABC Tutorials
Up: ABC Quantitative analysis

(In progress . . . )


 * The price of the underlying instrument St follows a geometric Brownian motion with constant drift μ and volatility σ:

* It is possible to short sell the underlying stock.
* There are no arbitrage opportunities.
* Trading in the stock is continuous.
* There are no transaction costs or taxes.
* All securities are perfectly divisible.
* It is possible to borrow and lend cash at a constant risk-free interest rate r.



Prices, Greeks


Here I reproduced well-known results (see e.g. [1]) using my libraries. Feel free to download and play (at your own risk).

I am adding several new features, please check later.


Black-Scholes pricing program.


  1. BlackScholes (From Wikipedia, the free encyclopedia)
  2. Greeks, by Liuren Wu
  3. Discrete Artificial Boundary Conditions for the Black-Scholes...
  4. Binomial Option Pricing, the Black-Scholes Option Pricing Formula

ABC Tutorials
Up: ABC Quantitative analysis

ABC Tutorials | Data Processing | Indirect Measurements | NMR Tutorials

Home | Resumé | |  Computing |  Links Publications

ŠNikolai Shokhirev, 2006-2011