Results 91 to 100 of about 58,908 (171)

Parametric Pricing of Higher Order Moments in S&P500 Options. [PDF]

A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as well as time-varying volatility are priced.
G.C. Lim, G.M. Martin, V.L. Martin
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Coarse Thinking and Pricing a Financial Option [PDF]

Mullainathan et al [Quarterly Journal of Economics, May 2008] present a formalization of the concept of coarse thinking in the context of a model of persuasion.
Siddiqi, Hammad
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On CAPM and Black-Scholes, differing risk-return strategies [PDF]

In their path-finding 1973 paper Black and Scholes presented two separate derivations of their famous option pricing partial differential equation (pde).
Gunaratne, Gemunu H., McCauley, Joseph L.   +1 more
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Analysis of the sensitivity to discrete dividends : A new approach for pricing vanillas [PDF]

The incorporation of a dividend yield in the classical option pricing model of Black- Scholes results in a minor modification of the Black-Scholes formula, since the lognormal dynamic of the underlying asset is preserved. However, market makers prefer to
Arnaud Gocsei, Fouad Sahel
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THE ANALYTICAL SOLUTIONS OF EUROPEAN OPTIONS ON SHARES PRICING MODELS

Jurnal Akuntansi dan Keuangan, 2004
The Black-Scholes options formula is the breakthrough in valuating options prices. However, the formula is heavily based on several assumptions that are not realistic in practice. The extensions of the assumptions are needed to make options pricing model
Andriansyah Andriansyah
doaj  

Modified Heisenberg Commutation Relations, Free Schrödinger Equations, Tunnel Effect and Its Connections with the Black–Scholes Equation

Axioms
This paper explores the implications of modifying the canonical Heisenberg commutation relations over two simple systems, such as the free particle and the tunnel effect generated by a step-like potential.
Mauricio Contreras González, Roberto Ortiz Herrera, José González Suárez   +2 more
doaj   +1 more source

Solving the Black-Scholes Partial Differential Equation via the Solution Method for a One-Dimensional Heat Equation: A Pedagogic Approach with a Spreadsheet-Based Illustration

Spreadsheets in Education, 2019
The derivation of the Black-Scholes option pricing model, if covered in detail, is by far the most complicated among all major models in the finance curriculum.
Clarence C. Y. Kwan
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„BLACK-SCHOLES MODEL USED TO EVALUATE STOCKS OPTIONS” [PDF]

Partial differential equation, parabolic Black-Scholes type, is used in evaluating equity options, that paying constant and continue dividends or in evaluate options in which interest rate, volatility and dividend are dependent on time.stocks, options ...
Turcan Radu Olimpiu Calin
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Dynamic Calibration Based on the Black-Scholes Option Pricing Model by Bayesian Method

IEEE Access
To improve the shortcomings of the classic Black-Scholes model, mainly on the constant volatility and normal distribution assumptions, this paper investigates the dynamic calibration method, which makes the expected return rate, volatility and interest ...
Norris M. Mulenga, Yu Fu
doaj   +1 more source

Precificação de Opções com Volatilidade Estocástica

Option pricing with stochastic volatility

Precificación de Opciones con Volatilidad Estocástica

Revista Brasileira de Gestão De Negócios, 2004
RESUMOEntre as suposições subjacentes do modelo Black-Scholes-Merton, as maiores polarizações empíricas são causadas por aquelas com uma volatilidade fixa do recurso subjacente.
MARTIN, Diógenes Manoel Leiva
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