Results 121 to 130 of about 21,084,828 (274)

THE ANALYTICAL SOLUTIONS OF EUROPEAN OPTIONS ON SHARES PRICING MODELS

Jurnal Akuntansi dan Keuangan, 2004
The Black-Scholes options formula is the breakthrough in valuating options prices. However, the formula is heavily based on several assumptions that are not realistic in practice. The extensions of the assumptions are needed to make options pricing model
Andriansyah Andriansyah
doaj  

Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models [PDF]

, 2011
Shu Ho, Alan Lee, Alastair Marsden
openalex   +1 more source

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  

The Pricing and Hedging of an Attainable Claim in a Hybrid Black–Scholes Model under Regime Switching [PDF]

, 2021
Kuanhou Tian, Yanfang Li, Guixin Hu
openalex   +1 more source

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, Brummelhuis, Raymond, Cristofol, Michel, Soccorsi, Eric   +3 more
core   +2 more sources

Solving the Black-Scholes Partial Differential Equation via the Solution Method for a One-Dimensional Heat Equation: A Pedagogic Approach with a Spreadsheet-Based Illustration

Spreadsheets in Education, 2019
The derivation of the Black-Scholes option pricing model, if covered in detail, is by far the most complicated among all major models in the finance curriculum.
Clarence C. Y. Kwan
doaj  

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

Formulating black Scholes equation using a jump diffusion Heston’s model [PDF]

, 2022
Oduor D Brian
openalex   +1 more source

Mispricing in the Black-Scholes model: an exploratory analysis

, 1993
Kai-one Sriplung
openalex   +2 more sources

Derivation of black Scholes equation using Heston’s model with dividend yielding asset [PDF]

, 2022
Oduor D Brian
openalex   +1 more source