Mathematica and Diffusions

J. Michael Steele and Robert A. Stine

Chapter 9 in Economic and Financial Modeling with Mathematica®, 1993, pp 192-213 from Springer

Abstract: Abstract A central aim of this chapter is to illustrate how symbolic computing can simplify or eliminate many of the tedious aspects of the stochastic calculus. The package Di f fusion .m included with this book provides a suite of functions for manipulating diffusion models, and individuals with a basic knowledge of Mathematica should be able to use this package to expedite many of the routine calculations of stochastic calculus. After demonstrating the basic features of this package, we give an extensive example that applies the functions of the package to a problem of option-pricing.

Keywords: Symbolic Computation; Infinitesimal Generator; Stochastic Calculus; European Option; Accessor Function (search for similar items in EconPapers)
Date: 1993
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DOI: 10.1007/978-1-4757-2281-9_9

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