Results 21 to 30 of about 20,840,101 (209)
Comparison: Binomial model and Black Scholes model
, 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 ...
A. Dar, N. Anuradha
semanticscholar +1 more source
On the Solution of the Multi-Asset Black-Scholes Model: Correlations, Eigenvalues and Geometry [PDF]
, 2015 In this paper, the multi-asset Black-Scholes model is studied in terms of the importance that the correlation parameter space (equivalent to an N dimensional hypercube) has in the solution of the pricing problem. It is shown that inside of this hypercube
M. Contreras +2 more
semanticscholar +1 more source
Visual information in the dark: Bioluminescence and perceptual design through evolution
Functional Ecology, EarlyView.Read the free Plain Language Summary for this article on the Journal blog. Abstract Bioluminescence offers a powerful framework for understanding how organisms evolve to shape visual information in diverse ways. Complementing studies of colour, transparency and pattern in illuminated environments, bioluminescent systems instead rely on generated light,
Todd H. Oakley
wiley +1 more source
Application of Microlocal Analysis to an Inverse Problem Arising from Financial Markets [PDF]
, 2014 One of the most interesting problems discerned when applying the Black--Scholes model to financial derivatives, is reconciling the deviation between expected and observed values.
Doi, Shin-ichi, Ota, Yasushi
core
The effect of addback statutes on CEO compensation
Accounting &Finance, Volume 65, Issue 1, Page 793-818, March 2025.Abstract Exploiting the adoption of addback statutes, which occurred at different times, as exogenous shocks to corporate taxable income, we examine the effect of tax policy changes on the compensation of chief executive officers (CEOs). We provide evidence that CEOs of firms headquartered in states affected by addback statutes experienced a decrease ...
Karel Hrazdil +3 more
wiley +1 more source
Drawbacks and Limitations of Black-Scholes Model for Options Pricing
Journal of Financial Studies & Research, 2018 Financial derivatives are becoming increasingly popular these days, not only as hedging instruments but they are also used more and more frequently for speculative transactions.
Zuzana Janková
semanticscholar +1 more source
Financial Review, EarlyView.ABSTRACT We study the target return strategy (TRS), which exits the market once the return reaches a preset target. We show that the holding‐period return (HPR) cannot mean‐variance dominate TRS, but TRS can mean‐variance dominate HPR. We theoretically analyze TRS and quantitatively illustrate that training targets by a mean‐variance utility ...
Ying Xue, Zheng Wen, Xu Jiang
wiley +1 more source
, 2017 The Black Scholes model is a well-known and useful mathematical model in financial markets. In this paper, the two-dimensional Black Scholes equation with European call option is studied. The explicit solution of this problem is carried out in the form of
Kamonchat Trachoo +2 more
semanticscholar +1 more source
A Comparative Review of Specification Tests for Diffusion Models
International Statistical Review, EarlyView.Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez +3 more
wiley +1 more source
Implied volatility of basket options at extreme strikes
, 2014 In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality.
A d’Aspremont +29 more
core +1 more source