Results 141 to 150 of about 21,084,828 (274)

A Black–Scholes option pricing model with transaction costs

, 2004
Pablo Amster, C.G. Averbuj, Maria C. Mariani, Diego Rial   +3 more
openalex   +1 more source

Numerical solution of the time fractional Black-Scholes model governing European options

Computers and Mathematics with Applications, 2016
Hongmei Zhang, Fawang Liu, I. Turner, Qianqian Yang   +3 more
semanticscholar   +1 more source

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
core  

Precificação de Opções com Volatilidade Estocástica

Option pricing with stochastic volatility

Precificación de Opciones con Volatilidad Estocástica

Revista Brasileira de Gestão De Negócios, 2004
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
doaj  

Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps [PDF]

, 2018
Choi-Hong Lai
openalex   +1 more source

Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps [PDF]

, 2023
Alberto Bueno-Guerrero, Steven P. Clark
openalex   +1 more source

The Black-Scholes type financial models and the arbitrage opportunities

, 2007
N. B. Sukhomlin
openalex   +2 more sources

T-Stability of the Euler-Maruyama Algorithm for the Generalized Black-Scholes Model with Fractional Brownian Motion [PDF]

, 2018
Hui Yu
openalex   +1 more source

Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English) [PDF]

The paper focuses on the replication of digital options under an incomplete model. Digital options are regularly applied in the hedging and static decomposition of many path-dependent options.
Tomáš Tichý
core  

Aplikasi Algoritma Biseksi dan Newton-Raphson dalam Menaksir Nilai Volatilitas Implied

Jurnal Matematika, 2012
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