Results 21 to 30 of about 53,628 (205)
The Valuation of European Option Under Subdiffusive Fractional Brownian Motion of the Short Rate [PDF]
, 2020 In this paper, we propose an extension of the Merton model. We apply the subdiffusive mechanism to analyze European option in a fractional Black–Scholes environment, when the short rate follows the subdiffusive fractional Black–Scholes model. We derive a
Shokrollahi, Foad
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Avrupa Tipi Satış Opsiyonu Modeli için Nümerik bir Değerlendirme [PDF]
, 2021 The Black-Scholes equations have been increasingly popular over the last three decades since they provide more practical information for optional behaviours. Therefore, effective methods have been needed to analyse these models.
Gulen, Seda
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Information‐theoretic model of induced technical change: Theory and empirics
Metroeconomica, Volume 74, Issue 1, Page 2-39, February 2023., 2023 Abstract The paper develops an information‐theoretic model of induced technical change where payoff‐maximizing agents are exposed to a positive degree of uncertainty when adopting new technology due to unobserved cost factors. The derived equilibrium of the model comes in the form of a non‐degenerate probability distribution that defines the distance ...
Jangho Yang
wiley +1 more source
The Modified Black-Scholes Model via Constant Elasticity of Variance for Stock Options Valuation [PDF]
, 2016 In this paper, the classical Black-Scholes option pricing model is visited. We present a modified version of the Black-Scholes model via the application of the constant elasticity of variance model (CEVM); in this case, the volatility of the stock ...
Edeki, S.O. +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
doaj +1 more source
The Journal of Engineering and Exact Sciences, 2022 Black–Scholes partial differential equation is a generally acceptable model in financial markets for option pricing. However, without variable transformations, the provision of symbolic solutions to the variable coefficient partial differential equation
Zainab Olabisi Dere +2 more
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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
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
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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
doaj +1 more source