Results 21 to 30 of about 21,084,828 (274)
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
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
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
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
doaj +1 more source
Option pricing with non-Gaussian scaling and infinite-state switching volatility [PDF]
, 2014 Volatility clustering, long-range dependence, and non-Gaussian scaling are stylized facts of financial assets dynamics. They are ignored in the Black & Scholes framework, but have a relevant impact on the pricing of options written on financial assets ...
Baldovin, Fulvio +4 more
core +2 more sources
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
Itô’s Calculus and the Derivation of the Black–Scholes Option-Pricing Model
, 2010 The purpose of this paper is to develop certain relatively recent mathematical discoveries known generally as stochastic calculus, or more specifically as Ito’s Calculus and to also illustrate their application in the pricing of options. The mathematical methods of stochastic calculus are illustrated in alternative derivations of the celebrated Black ...
Chalamandaris, G +1 more
openaire +4 more sources
A New Approach for the Black–Scholes Model with Linear and Nonlinear Volatilities
Mathematics, 2019 Since financial engineering problems are of great importance in the academic community, effective methods are still needed to analyze these models. Therefore, this article focuses mainly on capturing the discrete behavior of linear and nonlinear Black ...
S. Gulen, C. Popescu, Murat Sari
semanticscholar +1 more source