BlackSholes.hpp File Reference

Contains the definition of the Black-Sholes model. More...

#include <vector>
#include <functional>

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Classes
class	BlackScholes
	Implements the Black-Scholes model. More...

Functions
void	thomas_algorithm (std::vector< double > &v, std::vector< double > &a, std::vector< double > &b, std::vector< double > &c, std::vector< double > &f)
	Implementation of Thomas algorithm for tridiagonal matrices. More...

Detailed Description

Contains the definition of the Black-Sholes model.

DESCRIPTION

The Black-Sholes model is a mathematical model used to model the price of various assets. The model assumes that the price of heavily traded assets follow a geometric Brownian motion with constant drift and volatility. When applied to a stock option, the model incorporates the constant price variation of the stock, the time value of money, the option's strike price and the time to the option's expiry.

See also

https://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model

https://www.investopedia.com/terms/b/blackscholes.asp

https://www.investopedia.com/terms/e/europeanoption.asp

Definition in file BlackSholes.hpp.

Function Documentation

thomas_algorithm()

void thomas_algorithm	(	std::vector< double > &	v,
		std::vector< double > &	a,
		std::vector< double > &	b,
		std::vector< double > &	c,
		std::vector< double > &	f
	)

Implementation of Thomas algorithm for tridiagonal matrices.

Thomas tridiagonal matrix algorithm

Parameters

a,b,c,f	matrix coefficients in the run-through method
v	the desired approximation of the function obtained by the run-through method. Has indexes from 1 to n

Definition at line 9 of file ThomasAlgorithm.cpp.

Referenced by BlackScholes::pde_pricer().