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Computer-Aided Financial Analysis: An Implementation of the Black-Scholes Model

Ross M. Miller
Organization: Miller Risk Advisors
Journal / Anthology

The Mathematica Journal
Year: 1990
Volume: 1
Issue: 1
Page range: 75-79

This paper describes a Mathematica implementation of the Black-Scholes option pricing model, which has numerous financial applications in asset valuation and risk management. This implementation makes especially good use of the special capabilities that distinguish Mathematica, including its symbolic differentiation and object-oriented database features. This paper concludes with an overview of how important extensions and generalizations of the Black Scholes model can be easily created in Mathematica by exploiting its inherent extensibility.

*Business and Economics

Black Scholes, options, asset valuation, risk management, securities