Results 111 to 120 of about 15,578,858 (194)

A Switching Black-Scholes Model and Option Pricing [PDF]

, 2003
Derivative pricing, and in particular the pricing of options, is an important area of current research in financial mathematics. Experts debate on the best method of pricing and the most appropriate model of a price process to use.
Webb, Melanie Ann
core  

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

Black-Scholes type equations: mathematical analysis, parameter identification & numerical solution

, 2005
In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black ...
Bertram Duering (4462882)
core  

Black-Scholes Model

reservedIl Modello Black-Scholes rappresenta uno degli strumenti più influenti nella finanza per la valutazione delle opzioni. Questa tesi analizza i fondamenti teorici del modello, esplorando le ipotesi di base, la derivazione matematica dell'equazione
CASNA, ALICE
core  

Portrait of France Vinton Scholes

, 1920
Portrait of France Vinton ...
Scholes, France Vinton, 1897-
core  

Parameter estimation of the Black-Scholes-Merton model [PDF]

Master of ScienceDepartment of StatisticsJames W. NeillIn financial mathematics, asset prices for European options are often modeled according to the Black-Scholes-Merton (BSM) model, a stochastic differential equation (SDE) depending on unknown ...
Teka, Kubrom Hisho
core  

Alternatives to the Black-Scholes model

, 2001
Bibliography: leaves 44-45.In this paper, I consider alternative models to the one posited by Black and Scholes. I consider discontinuous security price movements, non-constant volatility, and models very different from the Black-Scholes model.
Durrell, Fernando
core   +1 more source

About discrete hedging and option pricing [PDF]

The approach that allows find European option price on the assumption of hedging at discrete times is proposed. The routine allows find the option price not for lognormal distribution functions of underlying asset only but for other classes of ...
Dmitry Yakovlev, Dmitry Zhabin
core  

Scholes

Lecture given at Alfred ...
Scholes
core  

Entropic Dynamics of Jump-Diffusion Option Pricing. [PDF]

Entropy (Basel)
Abedi M.
europepmc   +1 more source