evijit / Finance_Graph_Theory

Modelling Connectedness of Firms in Financial Markets with Heterogeneous Agents

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Finance_Graph_Theory

BS_price = function(St, K, r, T, t, sigma) { d1 = (log(St/K) + (r + (sigma^2)/2) * (T-t))/(sigma * (T-t) ^ 0.5) d2 = d1 - sigma * (T-t)^0.5 call = pnorm(d1) * St - pnorm(d2) * K * 2.73^(r*(t-T)) print (call) } BS_price(11377.75, 10000, 0.06, 38/365, 0, 0.05)

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Modelling Connectedness of Firms in Financial Markets with Heterogeneous Agents


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