Final price conservation law in the Black Scholes mode

Nikolay Sukhomlin

Economía, 2001, vol. 26-27, issue 17-18, 163-179

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.

Keywords: Black Scholes Model; Black Scholes “Classic” Solution; auxiliary Characteristic “Psi”; Conservation Laws. (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:ula:econom:v:26-27:y:2001-2002:i:17-18:p:163-179

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