Results 11 to 20 of about 23,860,994 (221)

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

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

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

On a Free Boundary Problem for American Options Under the Generalized Black–Scholes Model

Mathematics, 2020
We consider the problem of pricing American options using the generalized Black–Scholes model. The generalized Black–Scholes model is a modified form of the standard Black–Scholes model with the effect of interest and consumption rates.
Jung-Kyung Lee
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

A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model

Communications in nonlinear science & numerical simulation, 2020
Subdiffusion is a well established phenomenon in physics. In this paper we apply the subdiffusive dynamics to analyze financial markets. We focus on the financial aspect of time fractional diffusion model with moving boundary i.e.
G. Krzyzanowski, M. Magdziarz
semanticscholar   +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

Black-Scholes Flexibility of European Companies in the Digital Age [PDF]

SHS Web of Conferences, 2021
Research background: “How much is flexibility worth?” This question is the title of one of almost countless contributions. In these, procedures are discussed with which existing room for manoeuvres in corporate management can be quantitatively mapped ...
Uzik Martin, Runge Christopher
doaj   +1 more source

Capturing the volatility smile: parametric volatility models versus stochastic volatility models [PDF]

Public and Municipal Finance, 2016
Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility.
Belen Blanco
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