In this paper we propose new modules in programming environment MATHEMATICA for the generalizations of Black‒Scholes (BS) model [1] taking into account the Leland correction [2]. We make discretization of this model via Cellular Neural Networks (CNN) architecture. Then we derive the hypothetical model with discrete dividends Di , i = 1,2,..., n paid at time ti , i = 1,2,..., n taxed at rate taxi , i = 1,2,..., n . The proposed modules give the possibility for visualization and hypersensitive analysis.
Key words: Black–Scholes model, Cellular Neural Networks, market price, coefficient of variation, Leland correction, transaction Leland cost parameter, programming environment MATHEMATICA
Topic: MATHEMATICS