Difference between revisions of "Programming/Kdb/Labs/Option pricing"
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(Created page with "Recall the celebrated Black-Scholes equation <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}{\p...") |
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Recall the celebrated Black-Scholes equation | Recall the celebrated Black-Scholes equation | ||
<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> | ||
Revision as of 22:16, 17 June 2021
Recall the celebrated Black-Scholes equation
