Results 11 to 20 of about 21,084,828 (274)

PENENTUAN HARGA OPSI TIPE EROPA DENGAN MENGGUNAKAN MODEL BLACK SCHOLES FRAKSIONAL

Jurnal Matematika UNAND, 2020
Harga opsi tipe Eropa dapat ditentukan dengan model Black Scholes fraksional dengan waktu jatuh tempo dapat difraksional menggunakan parameter Hurst.
FITRI SABRINA, DODI DEVIANTO, FERRA YANUAR   +2 more
doaj   +1 more source

Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options

Borsa Istanbul Review, 2022
This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches.
Zeynep İltüzer
doaj   +1 more source

Perbandingan Metode Binomial dan Metode Black-Scholes Dalam Penentuan Harga Opsi

Sainsmat, 2016
ABSTRAK Opsi adalah kontrak antara pemegang dan penulis  (buyer (holder) dan seller (writer)) di mana penulis (writer) memberikan hak (bukan kewajiban) kepada holder untuk membeli atau menjual aset dari writer pada harga tertentu (strike atau latihan ...
Surya Amami Pramuditya
doaj   +3 more sources

An Analysis of the Fractional-Order Option Pricing Problem for Two Assets by the Generalized Laplace Variational Iteration Approach

Fractal and Fractional, 2022
An option is the right to buy or sell a good at a predetermined price in the future. For customers or financial companies, knowing an option’s pricing is crucial.
Sivaporn Ampun, Panumart Sawangtong, Wannika Sawangtong   +2 more
doaj   +1 more source

Studying a Tumor Growth Partial Differential Equation via the Black–Scholes Equation

Computation, 2020
Two equations are considered in this paper—the Black–Scholes equation and an equation that models the spatial dynamics of a brain tumor under some treatment regime. We shall call the latter equation the tumor equation.
Winter Sinkala, Tembinkosi F. Nkalashe
doaj   +1 more source

A Generalized Model for Pricing Financial Derivatives Consistent with Efficient Markets Hypothesis—A Refinement of the Black-Scholes Model

Risks, 2023
This research article provides criticism and arguments why the canonical framework for derivatives pricing is incomplete and why the delta-hedging approach is not appropriate.
Jussi Lindgren
doaj   +1 more source

Relativistic Black-Scholes model [PDF]

, 2016
Black-Scholes equation, after a certain coordinate transformation, is equivalent to the heat equation. On the other hand the relativistic extension of the latter, the telegraphers equation, can be derived from the Euclidean version of the Dirac equation.
Trzetrzelewski, Maciej
core   +1 more source

The practical framework of the Black-Scholes model of pricing a european call option: economical and mathematical interpretation

Acta Economica, 2014
Starting in 1973 with publishing the paper The pricing of Options and Corporate Liabilities, Fischer Black and Myron Scholes made a revolution in the world of fnances.
Драган Јањић
doaj   +1 more source

A modification term for Black-Scholes model based on discrepancy calibrated with real market data

Data Science in Finance and Economics, 2021
The Black-Scholes option pricing model (B-S model) generally requires the assumption that the volatility of the underlying asset be a piecewise constant.
Xiaozheng Lin, Meiqing Wang , Choi-Hong Lai   +2 more
doaj   +1 more source

A Non-Gaussian Option Pricing Model with Skew [PDF]

, 2004
Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L.
Borland, L., Bouchaud, J. P.
core   +3 more sources