Results 31 to 40 of about 53,628 (205)
A Black-Scholes user's guide to the Bachelier model
, 2022 To cope with the negative oil futures price caused by the COVID-19 recession, global commodity futures exchanges temporarily switched the option model from Black--Scholes to Bachelier in 2020.
Choi, Jaehyuk +3 more
core +1 more source
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
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
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
doaj +1 more source
Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $\mathbb{H}^3$ [PDF]
, 2016 We compute a sharp small-time estimate for the price of a basket call under a bi-variate SABR model with both $\beta$ parameters equal to $1$ and three correlation parameters, which extends the work of Bayer,Friz&Laurence [BFL14] for the multivariate ...
Forde, Martin, Zhang, Hongzhong
core +2 more sources
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
wiley +1 more source