Mathematical Modeling of Option Pricing with an Extended Black-Scholes Framework [PDF]
N. Nayak
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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
A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role [PDF]
, 2013 Yannis G. Yatracos
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Determining the implied volatility in the Dupire equation for vanilla European call options
, 2013 The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining the implied volatility, which is a function of the underlying asset, from a collection of
Bellassoued, Mourad +3 more
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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
Dynamic Calibration Based on the Black-Scholes Option Pricing Model by Bayesian Method
IEEE AccessTo 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
On numerical simulation of the Black-Scholes model using the non-linear Adomian method
, 2018 Carlos Muñoz +2 more
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Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English) [PDF]
The paper focuses on the replication of digital options under an incomplete model. Digital options are regularly applied in the hedging and static decomposition of many path-dependent options.
Tomáš Tichý
core
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