Μελέτη της μερικής διαφορικής εξίσωσης Black-Scholes και εφαρμογές στη θεωρία τιμολόγησης δικαιωμάτων

Χατζηπέρης, Άγγελος, Ν.

The partial differential equation of the Black-Scholes model & applications in option pricing theory

Master Thesis

Author

Χατζηπέρης, Άγγελος, Ν.

Date

2013-10

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Keywords

Διαφορικές εξισώσεις ; Χρεόγραφα

Abstract

In this work, the Black & Scholes partial differential equation, and its general solution will be studied. An adaption of this model in the pricing of European options will also be considered. We give the appropriate mathematical background, in order to describe the necessary geometric Brownian motion, which is a stochastic process crucial for the hypothesis in the Black & Scholes model. Finally, applications of the model in the finding of underlying asset’s value as well as numerical examples will be presented.