Results 71 to 80 of about 32,884 (141)
Evaluation of Options using the Black-Scholes Methodology
Expert Journal of Economics, 2019 This paper discusses how to obtain the Black-Scholes equation to evaluate options and how to obtain explicit solutions for Call and Put. The Black-Scholes equation, which is the basis for determining explicit solutions for Call and Put, is a rather ...
Vasile BRĂTIAN
doaj
On the complete model with stochastic volatility by Hobson and Rogers [PDF]
We examine a recent model, proposed by Hobson and Rogers, which generalizes the classical one by Black and Scholes for pricing derivative securities such as options and futures.
Andrea Pascucci, Marco Di Francesco
core
Physical Climate Risk in Asset Management
Corporate Social Responsibility and Environmental Management, Volume 33, Issue 1, Page 1077-1094, January 2026.ABSTRACT Climate‐related phenomena are increasingly affecting regions worldwide, manifesting as floods, water scarcity, and heat waves, significantly impairing companies' assets and productivity. It is essential for asset managers to quantify the exposure of their portfolios to such risk.
Michele Azzone +3 more
wiley +1 more source
Abstract and Applied Analysis, 2013 An adaptive wavelet precise integration method (WPIM) based on the variational iteration method (VIM) for Black-Scholes model is proposed. Black-Scholes model is a very useful tool on pricing options.
Huahong Yan
doaj +1 more source
The exact traveling wave solutions of a class of generalized Black-Scholes equation
AIMS Mathematics, 2017 In this paper, the traveling wave solutions of a class of generalized Black-Scholes equation are considered. By using the first integral method and the G'/G-expansion method, several exact traveling wave solutions of the equation are obtained.
Weiping Gao, Yanxia Hu
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Option Pricing in a Fractional Brownian Motion Environment [PDF]
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian ...
Cipian Necula
core
Vulnerable options pricing under uncertain volatility model
Journal of Inequalities and Applications, 2019 In this paper, we consider the pricing problem of options with counterparty default risks. We study the asymptotic behavior of vulnerable option prices in the worst case scenario under an uncertain volatility model which contains both corporate assets ...
Qing Zhou, Xiaonan Li
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Numerický model oceňování evropské kupní opce [PDF]
, 2010 In this paper a mathematical model of European call options prizing is presented. This model is based on reduced Black-Scholes partial differential equation, discretized employing the finite difference method. The results of this model and of the exact
Seinerová, Kateřina
core +1 more source
Discrete Dynamics in Nature and Society, 2016 We investigate the accurate computations for the Greeks using the numerical solutions of the Black-Scholes partial differential equation. In particular, we study the behaviors of the Greeks close to the maturity time and in the neighborhood around the ...
Darae Jeong, Minhyun Yoo, Junseok Kim
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The Riccati System and a Diffusion-Type Equation
Mathematics, 2014 We discuss a method of constructing solutions of the initial value problem for diffusion-type equations in terms of solutions of certain Riccati and Ermakov-type systems. A nonautonomous Burgers-type equation is also considered. Examples include, but are
Erwin Suazo +2 more
doaj +1 more source