Limit behavior of the prices of a barrier option in the Black–Scholes model with random drift and volatility [PDF]
, 2012 Yuliya Mishura, Yu. V. Yukhnovs’kiĭ
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, 2007 9 pages dont 1 page de bibliographieEXACT SOLUTION OF THE INVERSE PROBLEM OF OPTION PRICING IN THE BLACK-SCHOLES MODEL The main result of this study concerns the expression of the volatility of an option as a function of the other parameters intervening ...
Jacquinot, Philippe, Sukhomlin, Nikolay
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AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK-SCHOLES MODEL [PDF]
, 2013 Darae Jeong +4 more
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Valuation of 5G mmWave Fixed Wireless Access in Residence Area: Analysis of Real Option for Wireless Broadband Service in Kota Wisata Cibubur Using Decision Tree and Black Scholes Model [PDF]
, 2022 May Hendra Panjaitan, Catur Apriono
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A weighted finite difference method for subdiffusive Black Scholes Model [PDF]
Computers and Mathematics with Applications, 2019 G. Krzyzanowski +2 more
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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
The Extended Black-Scholes Model with-LAGS-and “Hedging Errors”
, 2003 Mondher Bellalah
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A computational weighted finite difference method for American and barrier options in subdiffusive Black–Scholes model [PDF]
, 2020 Grzegorz Krzyżanowski, Marcin Magdziarz
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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
PERBANDINGAN MODEL OPSI BLACKSCHOLES DAN MODEL OPSI GARCH DI BURSA EFEK INDONESIA
Jurnal Keuangan dan Perbankan, 2017 The purpose of this research was to compare the accuracy of Black-Scholes Opt ionModel and GARCH opt ion models for Stock opt ion ut ilizing data f rom Ast ra, BCA, Indofoodand Telkom at the Indonesian Stock Exchange.
Riko Hendrawan
doaj