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

Volume 1, Issue 1
Summer 1990

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.