Results 11 to 20 of about 53,628 (205)
Temporal Dynamics in Acquisition Behavior: The Effects of Activity Load on Strategic Momentum
Journal of Management Studies, Volume 60, Issue 1, Page 38-81, January 2023., 2023 Abstract Momentum theory suggests that acquisition experience leads to acquisition momentum in the form of a higher likelihood of subsequent acquisitions of the same type. However, this argument has been challenged theoretically and empirically.
Thomas Keil +3 more
wiley +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
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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
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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
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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
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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
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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 +2 more
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Reconstructing volatility: Pricing of index options under rough volatility
Mathematical Finance, Volume 33, Issue 1, Page 19-40, January 2023., 2023 Abstract Avellaneda et al. (2002, 2003) pioneered the pricing and hedging of index options – products highly sensitive to implied volatility and correlation assumptions – with large deviations methods, assuming local volatility dynamics for all components of the index.
Peter K. Friz, Thomas Wagenhofer
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In memoriam: Marco Avellaneda (1955–2022)
Mathematical Finance, Volume 33, Issue 1, Page 3-15, January 2023., 2023 Abstract Marco Avellaneda (1955–2022) was a leading figure in the development of mathematical modeling in finance and its dissemination among market practitioners. We provide a sketch of his trajectory and outline some of his main research contributions to mathematical finance.
Rama Cont
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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 +2 more
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