The Extended Black-Scholes Model with-LAGS-and “Hedging Errors”
, 2003 Mondher Bellalah
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A computational weighted finite difference method for American and barrier options in subdiffusive Black–Scholes model [PDF]
, 2020 Grzegorz Krzyżanowski, Marcin Magdziarz
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A Black–Scholes option pricing model with transaction costs
, 2004 Pablo Amster +3 more
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Numerical solution of the time fractional Black-Scholes model governing European options
Computers and Mathematics with Applications, 2016 Hongmei Zhang +3 more
semanticscholar +1 more source
Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model [PDF]
The interest of professional investors in financial derivatives on the Croatian market is steadily increasing and trading is expected to start after the establishment of the legal framework.
Petra Posedel
core
Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps [PDF]
, 2018 Choi-Hong Lai
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Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps [PDF]
, 2023 Alberto Bueno-Guerrero, Steven P. Clark
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Higher-order volatility: dynamics and sensitivities [PDF]
In this addendum to Carey (2005), we draw several more analogies with the Black-Scholes model. We derive the characteristic function of the underlying log process as a function of the volatilities of all orders.
Carey, Alexander
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The Black-Scholes type financial models and the arbitrage opportunities
, 2007 N. B. Sukhomlin
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T-Stability of the Euler-Maruyama Algorithm for the Generalized Black-Scholes Model with Fractional Brownian Motion [PDF]
, 2018 Hui Yu
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