Results 11 to 20 of about 20,572,131 (220)

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

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

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

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

Lie Symmetry Analysis of a First-Order Feedback Model of Option Pricing

Advances in Mathematical Physics, 2015
A first-order feedback model of option pricing consisting of a coupled system of two PDEs, a nonliner generalised Black-Scholes equation and the classical Black-Scholes equation, is studied using Lie symmetry analysis.
Winter Sinkala, Tembinkosi F. Nkalashe
doaj   +1 more source

The Use of Statistical Tests to Calibrate the Black-Scholes Asset Dynamics Model Applied to Pricing Options with Uncertain Volatility

Journal of Probability and Statistics, 2012
A new method for calibrating the Black-Scholes asset price dynamics model is proposed. The data used to test the calibration problem included observations of asset prices over a finite set of (known) equispaced discrete time values.
Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli   +3 more
doaj   +1 more source

A New Approach for the Black–Scholes Model with Linear and Nonlinear Volatilities

Mathematics, 2019
Since financial engineering problems are of great importance in the academic community, effective methods are still needed to analyze these models. Therefore, this article focuses mainly on capturing the discrete behavior of linear and nonlinear Black ...
S. Gulen, C. Popescu, Murat Sari
semanticscholar   +1 more source

SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL [PDF]

, 2018
We propose analytical approximations for the sensitivities (Greeks) of the Asian options in the Black–Scholes model, following from a small maturity/volatility approximation for the option prices which has the exact short maturity limit, obtained using ...
D. Pirjol, Lingjiong Zhu
semanticscholar   +1 more source

Analisis metode binomial dipercepat pada perhitungan harga opsi Eropa

Cauchy: Jurnal Matematika Murni dan Aplikasi, 2014
Model umum yang digunakan dalam perhitungan harga opsi Eropa adalah model Black Scholes. Kemudian ditemukan suatu metode baru yang merupakan aproksimasi dari model Black Scholes yaitu metode Binomial. Akan tetapi, perhitungan harga opsi Eropa menggunakan
Istiqomah Istiqomah, Abdul Azis
doaj   +1 more source