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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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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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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
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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
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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
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Comparison: Binomial model and Black Scholes model
Quantitative Finance and Economics, 2018 The Binomial Model and the Black Scholes Model are the popular methods that are used to solve the option pricing problems. Binomial Model is a simple statistical method and Black Scholes model requires a solution of a stochastic differential equation ...
Amir Ahmad Dar, N. Anuradha
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Beni-Suef University Journal of Basic and Applied Sciences, 2023 Background Following a financial loss in trades due to lack of risk management in previous models from market practitioners, Fisher Black and Myron Scholes visited the academic setting and were able to mathematically develop an option pricing equation ...
Adedapo Ismaila Alaje +5 more
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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 +3 more
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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
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Pricing formula for exchange option in fractional black-scholes model with jumps [PDF]
Journal of Hyperstructures, 2014 In this paper pricing formula for exchange option in a fractional Black-Scholes model with jumps is derived. We found out some errors in proof of pricing formula for European call option [7]. At first we revise these errors and then extend this result to
Kyong-Hui Kim +2 more
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