Results 21 to 30 of about 20,572,131 (220)
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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PENGARUH PEMBAGIAN DIVIDEN MELALUI MODEL BLACK-SCHOLES
Jurnal Lebesgue, 2021 Stock trading has a risk that can be said to be quite large due to fluctuations in stock prices. In stock trading, one alternative to reduce the amount of risk is options. The focus of this research is on European options which are financial contracts by
Diana Purwandari
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Arbitrage in the Hermite Binomial Market
Fractal and Fractional, 2022 Much attention has been paid to the arbitrage opportunities in the Black–Scholes model when it is driven by fractional Brownian motions. It is natural to ask whether there exists arbitrage or not when we focus on other fractional processes, such as the ...
Xuwen Cheng, Yiran Zheng, Xili Zhang
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A Study on Numerical Solution of Black-Scholes Model
, 2018 In the history of option pricing, Black-Scholes model is one of the most significant models. In this article, the main concern is the numerical solution of the Black-Scholes model (a.k.a.
Md Nurul Anwar, L. S. Andallah
semanticscholar +1 more source
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
TESTING OF THE BLACK SCHOLES AND GARCH MODELS IN LQ45 USING LONG STRADDLE STRATEGY IN 2009-2018
Jurnal Bisnis dan Manajemen, 2021 The purpose of this study is to examine the implementation of option contracts using Black Scholes and GARCH on the LQ45 index using the long straddle strategy.
Riko Hendrawan, Anggadi Sasmito
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Mathematics, 2023 Financial derivatives have developed rapidly over the past few decades due to their risk-averse nature, with options being the preferred financial derivatives due to their flexible contractual mechanisms, particularly Asian options.
Lingling Xu, Hongjie Zhang, Fu Lee Wang
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Grass functional traits reflect the long history of fire and grazers in the savannas of Texas
American Journal of Botany, EarlyView.Abstract Premise Understanding relationships among grass traits, fire, and herbivores may help improve conservation strategies for savannas that are threatened by novel disturbance regimes. Emerging theory, developed in Africa, emphasizes that functional traits of savanna grasses reflect the distinct ways that fire and grazers consume biomass ...
Ashish N. Nerlekar +2 more
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Photo‐controlled Release of Urea Enables the Detection of Urea‐Urease Intermediates by cryo‐FTIR
Angewandte Chemie International Edition, Accepted Article.Caged compounds are a valuable tool to photocontrol the release of enzymatic substrates in a reaction. For example, caged urea molecules were proposed to control urea delivery to urease reactions and aid the determination of the catalytic mechanism of this enzyme.
Caterina Netto +7 more
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Qualitative financial modelling in fractal dimensions
Financial InnovationThe Black–Scholes equation is one of the most important partial differential equations governing the value of financial derivatives in financial markets. The Black–Scholes model for pricing stock options has been applied to various payoff structures, and
Rami Ahmad El-Nabulsi, Waranont Anukool
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