Results 111 to 120 of about 21,084,828 (274)
Weighted BMO and discrete time hedging within the Black-Scholes model [PDF]
, 2004 Stefan Geiß
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, 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 +15 more
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Analyst Responses to Changes in Credit Risk
Journal of International Financial Management &Accounting, Volume 36, Issue 3, Page 415-442, October 2025.ABSTRACT Do analysts adjust their recommendations when a company's credit risk changes? Using an extensive sample of 300,145 observations, covering 3722 US firms from 2000 to 2021, we find that analysts revise their recommendations when a firm's credit risk decreases but not when it increases.
Abinzano Isabel +2 more
wiley +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
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A Pure Dual Approach for Hedging Bermudan Options
Mathematical Finance, Volume 35, Issue 4, Page 745-759, October 2025.ABSTRACT This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a “purely dual” algorithm following the spirit of Rogers in the sense that it only relies on the dual pricing formula.
Aurélien Alfonsi +2 more
wiley +1 more source
Penentuan Harga Dan Batas Eksekusi Opsi Tipe Amerika Model Black-Scholes Menggunakan Finite Element Methods (FEM) [PDF]
, 2012 Opsi dapat digunakan untuk memperoleh keuntungan dan membatasi jumlah kerugian akibat perubahan harga saham yang acak. Opsi tipe Amerika merupakan opsi yang paling banyak diperdagangkan di bursa opsi.
Ade Latif, S.Si. +2 more
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The Pricing of Derivatives on Assets with Quadratic Volatility [PDF]
, 2002 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
Zühlsdorff, Christian
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Understanding Black-Scholes Option Pricing Model [PDF]
, 2007 Eun‐Kyung Lee, Yoon-Dong Lee
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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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A closed-form GARCH option pricing model [PDF]
This paper develops a closed-form option pricing formula for a spot asset whose variance follows a GARCH process. The model allows for correlation between returns of the spot asset and variance and also admits multiple lags in the dynamics of the GARCH ...
Saikat Nandi, Steven L. Heston
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