AN ANALYSIS OF THE DAILY VARIATION OF THE VALUE
OF AN OPTION OF A SHARE THROUGH
THE BLACK-SCHOLES EQUATION
Josiane Correia de Souza Carvalho1, Silvio Antonio Bueno Salgado2,
Marçal Serafin Cândido3, Reinaldo Marques4
1,2,3,4Instituto de Ciências Sociais Aplicadas - ICSA
Universidade Federal de Alfenas UNIFAL - MG
Celina Ferreira Ottoni Avenue, 4000 - Padre Vitor
Varginha - MG, 37048-395, BRAZIL

Abstract

In this work we study the daily variation of an option through a mathematical model known as Black-Scholes equation. This model expresses the variation rate on the derivative price, regarding time, as a linear combination of three terms: the own derivative's price, the speed with which it varies regarding the share price, and how this variation is accelerated. The main goal is to analyze the theoretical model's approximation when applied to practice, for this is presented the Black-Scholes model's solution and posteriorly applied on a European call option. This allows us to come to the conclusion that the theoretical model presented itself is a fine approach with the market.

Citation details of the article



Journal: International Journal of Applied Mathematics
Journal ISSN (Print): ISSN 1311-1728
Journal ISSN (Electronic): ISSN 1314-8060
Volume: 30
Issue: 3
Year: 2017

DOI: 10.12732/ijam.v30i3.3

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