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Appears in:
Pages: 181-184
Publication year: 2012
ISBN: 978-84-615-5563-5
ISSN: 2340-1079

Conference name: 6th International Technology, Education and Development Conference
Dates: 5-7 March, 2012
Location: Valencia, Spain

THE BLACK-SCHOLES FORMULA: A VIRTUAL LABORATORY

F. Giménez-Palomares1, M.J. Marín-Fernández2

1Universitat Politècnica de Valencia (SPAIN)
2Universitat de Valencia (SPAIN)
In the past years, the study of the stock markets has been promoted by using mathematical models. The economists, F. Black y M. Scholes, proposed a model based on a partial derivatives equation yielding to the modern theory of valuing assets which has been on the basis of numerous extensions and generalizations. Under given conditions, the analytic solution can be known and we obtain the “so called” Black-Scholes formula. This formula relates the theoretical value of an option Call or Put (European), the time elapsed until the expiration date, the present price of the underlying asset, the interest annual rate, the price of the option exercise and the volatility of the underlying asset.
In this work, a new virtual laboratory has been developed by using the Graphical User Interface (GUI) of MATLAB. This interface allows a graphical representation of the relationship between two any parameters of the Black-Scholes formula keeping constant the other parameters. This virtual laboratory is a valuable pedagogical tool for the understanding of the Black-Scholes formula by students of Economy, Finances, Accounting, Administration and Administration managing careers.
@InProceedings{GIMENEZPALOMARES2012BLA,
author = {Gim{\'{e}}nez-Palomares, F. and Mar{\'{i}}n-Fern{\'{a}}ndez, M.J.},
title = {THE BLACK-SCHOLES FORMULA: A VIRTUAL LABORATORY},
series = {6th International Technology, Education and Development Conference},
booktitle = {INTED2012 Proceedings},
isbn = {978-84-615-5563-5},
issn = {2340-1079},
publisher = {IATED},
location = {Valencia, Spain},
month = {5-7 March, 2012},
year = {2012},
pages = {181-184}}
TY - CONF
AU - F. Giménez-Palomares AU - M.J. Marín-Fernández
TI - THE BLACK-SCHOLES FORMULA: A VIRTUAL LABORATORY
SN - 978-84-615-5563-5/2340-1079
PY - 2012
Y1 - 5-7 March, 2012
CI - Valencia, Spain
JO - 6th International Technology, Education and Development Conference
JA - INTED2012 Proceedings
SP - 181
EP - 184
ER -
F. Giménez-Palomares, M.J. Marín-Fernández (2012) THE BLACK-SCHOLES FORMULA: A VIRTUAL LABORATORY, INTED2012 Proceedings, pp. 181-184.
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