Abstract
A central aim of this chapter is to illustrate how symbolic computing can simplify or eliminate many of the tedious aspects of the stochastic calculus. The package Di f fusion .m included with this book provides a suite of functions for manipulating diffusion models, and individuals with a basic knowledge of Mathematica should be able to use this package to expedite many of the routine calculations of stochastic calculus. After demonstrating the basic features of this package, we give an extensive example that applies the functions of the package to a problem of option-pricing.
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References
Arnold, L. (1974). Stochastic Differential Equations: Theory and Applications. Wiley, New York.
Duffie, D. (1988). Security Markets. Academic Press, New York.
Steele, J. M. and R. A. Stine (1991). “Applications of Mathematica to the stochastic calculus.” In American Statistical Association, Proceedings of the Statistical Computing Section. 11–19. Amercian Statistical Association. Washington. D.C.
Miller, R. (1990). “Computer-aided financial analysis: an implementation of the Black Scholes model.” Mathematica Journal, 1, 75–79.
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© 1993 Springer Science+Business Media New York
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Steele, J.M., Stine, R.A. (1993). Mathematica and Diffusions. In: Varian, H.R. (eds) Economic and Financial Modeling with Mathematica®. Springer, New York, NY. https://doi.org/10.1007/978-1-4757-2281-9_9
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DOI: https://doi.org/10.1007/978-1-4757-2281-9_9
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4757-2283-3
Online ISBN: 978-1-4757-2281-9
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