Difference between revisions of "Programming/Kdb/Labs/Option pricing"

From Thalesians Wiki
< Programming‎ | Kdb‎ | Labs
Line 1: Line 1:
Recall the celebrated Black-Scholes equation
Recall the celebrated Black-Scholes equation
 
<center><math>
<math>
\frac{\partial V}{\partial t} + \frac{1}{2} \sigma^2 S^2 \frac{\partial^2 V}{\partial S^2} + (r - q) S \frac{\partial V}{\partial S} - r V = 0.
\frac{\partial V}{\partial t} + \frac{1}{2} \sigma^2 S^2 \frac{\partial^2 V}{\partial S^2} + (r - q) S \frac{\partial V}{\partial S} - r V = 0.
</math>
</math></center>

Revision as of 22:16, 17 June 2021

Recall the celebrated Black-Scholes equation

Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle \frac{\partial V}{\partial t} + \frac{1}{2} \sigma^2 S^2 \frac{\partial^2 V}{\partial S^2} + (r - q) S \frac{\partial V}{\partial S} - r V = 0. }