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Beni-Suef University Journal of Basic and Applied Sciences, 2023 Background Following a financial loss in trades due to lack of risk management in previous models from market practitioners, Fisher Black and Myron Scholes visited the academic setting and were able to mathematically develop an option pricing equation ...
Adedapo Ismaila Alaje +5 more
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Reconstruction of the Time-Dependent Volatility Function Using the Black–Scholes Model [PDF]
, 2018 We propose a simple and robust numerical algorithm to estimate a time-dependent volatility function from a set of market observations, using the Black–Scholes (BS) model.
Yuzi Jin +7 more
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Comparison: Binomial model and Black Scholes model
Quantitative Finance and Economics, 2018 The Binomial Model and the Black Scholes Model are the popular methods that are used to solve the option pricing problems. Binomial Model is a simple statistical method and Black Scholes model requires a solution of a stochastic differential equation ...
Amir Ahmad Dar, N. Anuradha
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Empirical examination of the Black–Scholes model: evidence from the United States stock market [PDF]
Frontiers in Applied Mathematics and StatisticsOption pricing is crucial in enabling investors to hedge against risks. The Black–Scholes option pricing model is widely used for this purpose. This paper investigates whether the Black–Scholes model is a good indicator of option pricing in the United ...
Monsurat Foluke Salami
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The Adomian Decomposition Method for Standard Power Options
Ratio Mathematica, 2022 Black-Scholes model derived by Black and Scholes is worldwide used mathematical model for valuing option price. This model brings a new quantitative approach for researcher to finding theoretical values of options.
Sanjay J. Ghevariya
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A New Solution to the Fractional Black–Scholes Equation Using the Daftardar-Gejji Method
Mathematics, 2023 The main objective of this study is to determine the existence and uniqueness of solutions to the fractional Black–Scholes equation. The solution to the fractional Black–Scholes equation is expressed as an infinite series of converging Mittag-Leffler ...
Agus Sugandha +3 more
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Option pricing by Nikivorou-Ovarov differential resolution method [PDF]
فصلنامه بورس اوراق بهادار, 2021 The Black-Scholes pricing theory is one of the most important ways of valuating transaction options. This equation is used to pricing a variety of European options.
mehdi abvali +3 more
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PENENTUAN HARGA OPSI TIPE EROPA DENGAN MENGGUNAKAN MODEL BLACK SCHOLES FRAKSIONAL
Jurnal Matematika UNAND, 2020 Harga opsi tipe Eropa dapat ditentukan dengan model Black Scholes fraksional dengan waktu jatuh tempo dapat difraksional menggunakan parameter Hurst.
FITRI SABRINA +2 more
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Perbandingan Metode Binomial dan Metode Black-Scholes Dalam Penentuan Harga Opsi
Sainsmat, 2016 ABSTRAK Opsi adalah kontrak antara pemegang dan penulis (buyer (holder) dan seller (writer)) di mana penulis (writer) memberikan hak (bukan kewajiban) kepada holder untuk membeli atau menjual aset dari writer pada harga tertentu (strike atau latihan ...
Surya Amami Pramuditya
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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
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