Results 101 to 110 of about 15,578,858 (194)

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

Beberapa Aspek Tentang Black-scholes Option Pricing Model [PDF]

, 1998
Nobel Ekonomi 1997 diberikan kepada Myron Scholes dan Robert Merton. Myron Scholes bersama Fisher Black memberi landasan yang sangat penting dalam teori sekuritas derivatif dengan menemukan model penilaian opsi Black-Scholes Option Pricing Model (OPM ...
Arifin, Z. (Zaenal)
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  

Black-Scholes Model: Option Pricing Formula

, 2013
Financial mathematics is one of the fastest developing areas generally used in modern banking and corporate finance, which, together with the evolution of modern financial products following the discovery of the Black-Scholes formula, provides rapid ...
Punpocha, Somporn
core   +1 more source

Options and their pricing : the Black-Scholes model [PDF]

, 1999
The subject of this thesis is the derivation of the Black-Scholes options pricing model. Chapter one is an introduction to option pricing and an explanation of Calls, and Puts.
Moss, Cynthia
core  

Polynomial-Normal extension of Black-Scholes model

, 2009
Black-Scholes Model is a widely used mathematical model for stock price behaviors, of which the return is assumed to be normally distributed. But this 'normally distributed' assumption is doubted and proved to be not true by realistric data ...
Li, Hao
core   +1 more source

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

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  

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
doaj