Results 111 to 120 of about 23,860,994 (221)

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

The Pricing of Derivatives on Assets with Quadratic Volatility [PDF]

The basic model of financial economics is the Samuelson model of geometric Brownian motion because of the celebrated Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the model garantees
Christian Zühlsdorff
core  

„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
core  

Numerical solution of the time fractional Black-Scholes model governing European options

Computers and Mathematics with Applications, 2016
Hongmei Zhang, Fawang Liu, I. Turner, Qianqian Yang   +3 more
semanticscholar   +1 more source

Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market [PDF]

This paper investigates the pricing bias in the Swedish OMX-Index Option market and how a stochastic volatility affects European call option prices. The market is purely European and without dividends for the period studied. A CIR square-root process for
Byström , Hans
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  

Aplikasi Algoritma Biseksi dan Newton-Raphson dalam Menaksir Nilai Volatilitas Implied

Jurnal Matematika, 2012
Volatilitas adalah suatu besaran yang mengukuran seberapa jauh suatu harga saham bergerak dalam suatu periode tertentu dapat juga diartikan sebagai persentase simpangan baku dari perubahan harga harian suatu saham.
Komang Dharmawan, I Nyoman Widana
doaj  

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

Solution exacte du problème inverse de valorisation des options dans le cadre du modèle de Black et Scholes

, 2007
9 pages dont 1 page de bibliographieEXACT SOLUTION OF THE INVERSE PROBLEM OF OPTION PRICING IN THE BLACK-SCHOLES MODEL The main result of this study concerns the expression of the volatility of an option as a function of the other parameters intervening ...
Jacquinot, Philippe, Sukhomlin, Nikolay
core   +1 more source

Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model

Risks
We present a unified, market-complete model that integrates both Bachelier and Black–Scholes–Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the ...
W. Brent Lindquist, Svetlozar T. Rachev, Jagdish Gnawali, Frank J. Fabozzi   +3 more
doaj   +1 more source