Results 101 to 110 of about 23,860,994 (221)

Asymptotic analysis for stochastic volatility: Edgeworth expansion

, 2010
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions.
Fukasawa, Masaaki
core   +1 more source

European Option Pricing of Fractional Black-Scholes Model Using Sumudu Transform and its Derivatives

, 2016
In this work an analytical solution of Fractional Black-Scholes European option pricing equation is solved.The analytical solution is based on Sumudu Transform and its differential and integral properties.The obtained solution is presented in the form of
W. Khan, Faryal Aijaz Ansari
semanticscholar   +1 more source

Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion

, 2012
On a multi-assets Black-Scholes economy, we introduce a class of barrier options. In this model we apply a generalized reflection principle in a context of the finite reflection group acting on a Euclidean space to give a valuation formula and the semi ...
B. C. Hall, D. J. Grabiner, I. Molchanov, J. E. Humphreys, Katsuya Takagi, L. Jones, M. Schmutz, P. Biane, P. Carr, P. Carr, P. Carr, R. C. Merton, R. Poulsen, S. Karlin, Y. Imamura, Yuri Imamura   +15 more
core   +1 more source

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
core  

Almost sure and moment stability properties of fractional order Black-Scholes model

, 2013
We deal with the stability problem of the fractional order Black-Scholes model driven by fractional Brownian motion (fBm). First, necessary and sufficient conditions are established for almost sure asymptotic stability and pth moment asymptotic stability
Caibin Zeng, YangQuan Chen, Qigui Yang
semanticscholar   +1 more source

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
core  

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
doaj  

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  

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  

Parameter risk in the Black and Scholes model [PDF]

We study parameter or estimation risk in the hedging of options. We suppose that the world is such that the price of an asset follows a stochastic differential equation. The only unknown is the (future) volatility of the asset.
Henrard Marc
core