Results 1 to 10 of about 20,840,101 (209)
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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The Modified Black-Scholes Model via Constant Elasticity of Variance for Stock Options Valuation [PDF]
, 2016 In this paper, the classical Black-Scholes option pricing model is visited. We present a modified version of the Black-Scholes model via the application of the constant elasticity of variance model (CEVM); in this case, the volatility of the stock ...
Edeki, S.O. +2 more
core +2 more sources
Beni-Suef University Journal of Basic and Applied Sciences, 2023 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 named the ...
A. Alaje +5 more
semanticscholar +1 more source
Relativistic Black-Scholes model [PDF]
, 2016 Black-Scholes equation, after a certain coordinate transformation, is equivalent to the heat equation. On the other hand the relativistic extension of the latter, the telegraphers equation, can be derived from the Euclidean version of the Dirac equation.
Trzetrzelewski, Maciej
core +1 more source
A Non-Gaussian Option Pricing Model with Skew [PDF]
, 2004 Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L.
Borland, L., Bouchaud, J. P.
core +3 more sources
Option pricing with non-Gaussian scaling and infinite-state switching volatility [PDF]
, 2014 Volatility clustering, long-range dependence, and non-Gaussian scaling are stylized facts of financial assets dynamics. They are ignored in the Black & Scholes framework, but have a relevant impact on the pricing of options written on financial assets ...
Baldovin, Fulvio +4 more
core +2 more sources
A New Approach for the Black–Scholes Model with Linear and Nonlinear Volatilities
Mathematics, 2019 Since financial engineering problems are of great importance in the academic community, effective methods are still needed to analyze these models. Therefore, this article focuses mainly on capturing the discrete behavior of linear and nonlinear Black ...
S. Gulen, C. Popescu, Murat Sari
semanticscholar +1 more source
SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL [PDF]
, 2018 We propose analytical approximations for the sensitivities (Greeks) of the Asian options in the Black–Scholes model, following from a small maturity/volatility approximation for the option prices which has the exact short maturity limit, obtained using ...
D. Pirjol, Lingjiong Zhu
semanticscholar +1 more source
Itô’s Calculus and the Derivation of the Black–Scholes Option-Pricing Model
, 2010 The purpose of this paper is to develop certain relatively recent mathematical discoveries known generally as stochastic calculus, or more specifically as Ito’s Calculus and to also illustrate their application in the pricing of options. The mathematical methods of stochastic calculus are illustrated in alternative derivations of the celebrated Black ...
Chalamandaris, G +1 more
openaire +4 more sources
A Study on Numerical Solution of Black-Scholes Model
, 2018 In the history of option pricing, Black-Scholes model is one of the most significant models. In this article, the main concern is the numerical solution of the Black-Scholes model (a.k.a.
Md Nurul Anwar, L. S. Andallah
semanticscholar +1 more source