Approximate analysis of the fair price of an option on the basis of the Black-Scholes equation
Keywords:
model of pricing of options, the Black-Scholes equation, the fair price, a method of sedate numbers, Lagranzh interpolation polynomial
Abstract
The method of the approximate solution of the Black-Scholes equation describing formation of the prices for the European call options is presented. The method is based on representation of the decision in the form of a power series with use interpolation polynomial. The analysis of dependence of the found approached fair price from factors influencing it is carried out.
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Published
2015-04-09
How to Cite
Хацкевич, В. Л. (2015). Approximate analysis of the fair price of an option on the basis of the Black-Scholes equation. Modern Economics: Problems and Solutions, 5, 159-167. Retrieved from https://journals.vsu.ru/meps/article/view/7652
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