Results 21 to 30 of about 32,884 (141)
Understanding How Dividends Affect Option Prices [PDF]
, 2016 In this paper, we propose a pricing model for stock option valuation. The model is derived from the classical Black-Scholes option pricing equation via the application of the constant elasticity of variance (CEV) model with dividend yield.
Edeki, S.O. +2 more
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On a Free Boundary Problem for American Options Under the Generalized Black–Scholes Model
Mathematics, 2020 We consider the problem of pricing American options using the generalized Black–Scholes model. The generalized Black–Scholes model is a modified form of the standard Black–Scholes model with the effect of interest and consumption rates.
Jung-Kyung Lee
doaj +1 more source
Lie Symmetry Analysis of a First-Order Feedback Model of Option Pricing
Advances in Mathematical Physics, 2015 A first-order feedback model of option pricing consisting of a coupled system of two PDEs, a nonliner generalised Black-Scholes equation and the classical Black-Scholes equation, is studied using Lie symmetry analysis.
Winter Sinkala, Tembinkosi F. Nkalashe
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Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations [PDF]
, 2017 We analyze and calculate the early exercise boundary for a class of stationary generalized Black-Scholes equations in which the volatility function depends on the second derivative of the option price itself. A motivation for studying the nonlinear Black
Grossinho, Maria do Rosario +2 more
core +2 more sources
Alexandria Engineering Journal, 2023 Trivially, the time-fractional Black–Scholes (FBS) equation is utilized to describe the behavior of the option pricing in financial markets. This work is intended as an attempt to introduce the ψ-Hilfer fractional Black–Scholes (ψ-HFBS) equation.
F. Mohammadizadeh +4 more
doaj +1 more source
Risks, 2023 This research article provides criticism and arguments why the canonical framework for derivatives pricing is incomplete and why the delta-hedging approach is not appropriate.
Jussi Lindgren
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پژوهشهای ریاضی, 2020 Introduction Fractional Differential Calculus (FDC) began in the 17th century and its initial discussions were related to the works of Leibniz, Lagrange, Abel and others.
Sedighe Sharifian +2 more
doaj
On the solution of two-dimensional fractional Black–Scholes equation for European put option
Advances in Difference Equations, 2020 The purpose of this paper was to investigate the dynamics of the option pricing in the market through the two-dimensional time fractional-order Black–Scholes equation for a European put option.
Din Prathumwan, Kamonchat Trachoo
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Strategic Change, EarlyView.ABSTRACT Start‐up CEOs are usually more aligned with the interests of the venture board compared to CEOs in legacy firms, and therefore it is usual to conclude that the traditional agency problem is lower in ventures. In this article, it is argued that this is only half of the story, and that the agency problem is reversed in early ventures such that ...
Glenn Kristiansen
wiley +1 more source
Qualitatively Stable Schemes for the Black–Scholes Equation
Fractal and Fractional, 2023 In this paper, the Black–Scholes equation is solved using a new technique. This scheme is derived by combining the Laplace transform method and the nonstandard finite difference (NSFD) strategy. The qualitative properties of the method are discussed, and
Mohammad Mehdizadeh Khalsaraei +5 more
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