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
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Aplikasi Algoritma Biseksi dan Newton-Raphson dalam Menaksir Nilai Volatilitas Implied
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
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
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Study of Black-Scholes Model and its Applications
Akanksha S. Shinde, Kalyanrao Takale
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Model Black Scholes dan Rasio Lindung Nilai untuk Opsi Saham Tipe Eropa dengan Pembagian Dividen (Studi Kasus pada Saham Bank of America Corporation) [PDF]
Dodi Devianto
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Black - Scholes Models Investment Evaluation for Potato Processing [PDF]
Karmen Pažek +2 more
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Research on insurance pricing under option game based on Black-Scholes model [PDF]
Yicheng Zhang
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Development of the Black–Scholes Model for Determining Insurance Premiums to Mitigate the Risk of Disaster Losses Using the Principles of Mutual Cooperation and Regional Economic Growth [PDF]
Titi Purwandari +5 more
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Application of the Laplace Homotopy Perturbation Method to the Black–Scholes Model Based on a European Put Option with Two Assets [PDF]
Din Prathumwan, Kamonchat Trachoo
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RABEM: risk-adaptive Bayesian ensemble model for fraud detection. [PDF]
Almarshad FA +3 more
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