Mispricing in the Black-Scholes model: an exploratory analysis [PDF]
, 1993 The Black-Scholes option pricing model has been highly influential in security trading and in analyses of risk-price relationships, despite the fact that it has been shown to have an apparent unexplainable mispricing bias.
Sriplung, Kai-one
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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
doaj +1 more source
Characterizing Drivers of Asia's Black Elephant Disaster Risks
Earth's Future, Volume 10, Issue 12, December 2022., 2022 Abstract Asia has the fastest growing population and economy, but it is also the most disaster‐prone region in the world. Resilience to disaster impacts from natural hazards will be key to the long‐term sustainability of this rapidly growing region. The first step to building resilience is to identify the key threats that this region faces. We describe
Yolanda C. Lin +7 more
wiley +1 more source
Pemanfaatan Skewness dan Kurtosis dalam Menentukan Harga Opsi Beli Asia [PDF]
, 2022 Opsi Asia adalah opsi dimana besar perhitungan keuntungannya menggunakan rata-rata harga aset selama periode kontrak. Penentuan harga Opsi Asia yang umum digunakan adalah dengan metode Black-Scholes.
Angga Syahputra +2 more
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Do uninformed traders move prices? Evidence from the Bank of Japan's ETF purchasing program
Financial Review, Volume 58, Issue 1, Page 5-18, February 2023., 2023 Abstract Using the Bank of Japan (BoJ) ETF purchasing program as an exogenous shock to stock demand, we find that stocks with a higher BoJ demand experience higher positive abnormal returns on BoJ ETF purchase dates, which only partially revert in the long term.
Luke Bouffler +3 more
wiley +1 more source
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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