2012•Procedia EngineeringOpen access

Study of Black-Scholes Model and its Applications

Akanksha S. Shinde, Kalyanrao Takale

Abstract

The aim of this paper is to study the Black-Scholes option pricing model. We discuss some definitions and different derivations, which are useful for further development of Black-Scholes formula and Black-Scholes partial differential equation. As an application, we obtain the solution of the Black-Scholes equation and it is represented graphically by Maple software.

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Key concepts: Black–Scholes model, Partial differential equation, Maple, Applied mathematics, Mathematics, Partial derivative, Mathematical analysis, Econometrics