[ Le développement d'un pricer des options et modèle Black and Scholes ]
Volume 10, Issue 2, February 2015, Pages 541–550
Moulay El Mehdi Falloul1 and Moulay Ali Falloul2
1 Ph.D candidate in applied economics and finance, Hassan II University of Mohammedia, Mohammedia, Morocco
2 Ph.D in magnetism and electrical engineering, Hassan II University of Casablanca, Casablanca, Morocco
Original language: French
Copyright © 2015 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
In the early 70's, Black, Scholes and Merton have made a major breakthrough in option pricing. These contributions and developments are the source of the famous Black-Scholes model which had a great impact on how used by traders, both in terms of option valuation in the development of coverage This work has also been the starting point for the spectacular development of computational finance in the 80's and 90's.En 1997 Merton and Scholes were awarded the Nobel Prize in Economics (Black had died). This formula is widely used in practice to the extent that it defines the implied volatility has become a real unit of measurement. The mathematical model that describes the financial market is both simple and effective. The aim of this paper is to develop options pricer using VBA language and the Black and Sholes model.
Author Keywords: Black and Scholes model, Geometric Brownian Motion, Ito lemma, heat equation, Green functions.
Volume 10, Issue 2, February 2015, Pages 541–550
Moulay El Mehdi Falloul1 and Moulay Ali Falloul2
1 Ph.D candidate in applied economics and finance, Hassan II University of Mohammedia, Mohammedia, Morocco
2 Ph.D in magnetism and electrical engineering, Hassan II University of Casablanca, Casablanca, Morocco
Original language: French
Copyright © 2015 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
In the early 70's, Black, Scholes and Merton have made a major breakthrough in option pricing. These contributions and developments are the source of the famous Black-Scholes model which had a great impact on how used by traders, both in terms of option valuation in the development of coverage This work has also been the starting point for the spectacular development of computational finance in the 80's and 90's.En 1997 Merton and Scholes were awarded the Nobel Prize in Economics (Black had died). This formula is widely used in practice to the extent that it defines the implied volatility has become a real unit of measurement. The mathematical model that describes the financial market is both simple and effective. The aim of this paper is to develop options pricer using VBA language and the Black and Sholes model.
Author Keywords: Black and Scholes model, Geometric Brownian Motion, Ito lemma, heat equation, Green functions.
Abstract: (french)
Au début des années 70, Black, Scholes et Merton ont opéré une avancée majeure en matière d'évaluation des options. Ces contributions et leurs développements sont à l'origine du célèbre modèle de Black et Scholes qui a eu un très grand impact sur les méthodes utilisées par les traders, tant en matière d'évaluation d'option que dans la mise au point de couverture. Ces travaux ont aussi été le point de départ du développement spectaculaire de la finance computationnelle dans les années 80 et 90 .En 1997, Merton et Scholes ont été récompensés par le prix Nobel d'économie (Black était décédé). Cette formule est très utilisée en pratique à tel point que la volatilité implicite qu'elle définit est devenue une véritable unité de mesure. Le modèle mathématique qui décrit le marché financier est à la fois simple et efficace. L'objectif de ce papier est de de développer un pricer des options en utilisant le langage VBA et le modèle Black et Scholes.
Author Keywords: Modèle Black et Scholes, Mouvement Géométrique Brownien, lemme d'Itô, équation de la chaleur, fonctions de Green.
How to Cite this Article
Moulay El Mehdi Falloul and Moulay Ali Falloul, “The Development of options pricer and Black and Scholes Model,” International Journal of Innovation and Applied Studies, vol. 10, no. 2, pp. 541–550, February 2015.
