Results 31 to 40 of about 21,084,828 (274)
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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SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL [PDF]
, 2018 We propose analytical approximations for the sensitivities (Greeks) of the Asian options in the Black–Scholes model, following from a small maturity/volatility approximation for the option prices which has the exact short maturity limit, obtained using ...
D. Pirjol, Lingjiong Zhu
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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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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
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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
wiley +1 more source
Understanding How Dividends Affect Option Prices [PDF]
, 2016 In this paper, we propose a pricing model for stock option valuation. The model is derived from the classical Black-Scholes option pricing equation via the application of the constant elasticity of variance (CEV) model with dividend yield.
Edeki, S.O. +2 more
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Infrared Photovoltaic–Battery Hybrid Systems Enabled by Colloidal Quantum Dots
Chemistry – An Asian Journal, EarlyView.Photovoltaic–battery (PV/B) hybrid systems are key for sustainable energy but face cost and efficiency limits. Colloidal quantum dots (CQDs) enable low‐cost near‐infrared light harvesting, surpassing silicon and III–V PVs. This review analyzes CQD properties, their roles in NIR PVs and batteries, and synthesizes current research to highlight progress ...
Hong Ji +3 more
wiley +1 more source
Lattice Boltzmann Method for the Generalized Black-Scholes Equation
Advances in Mathematical Physics, 2023 In this paper, an efficient lattice Boltzmann model for the generalized Black-Scholes equation governing option pricing is proposed. The Black-Scholes equation is firstly equivalently transformed into an initial value problem for a partial differential ...
Fangfang Wu +3 more
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PENENTUAN KONTRAK OPSI TIPE EROPA MENGGUNAKAN MODEL SIMULASI VARIANCE GAMMA (VG)
E-Jurnal Matematika, 2023 Options are used as a hedge against stock price uncertainty brought on by unstable stock prices fluctuation. The price of an option contract can be determined using a variety of approaches, one of which is the Variance Gamma. The purpose of this study is
NI KADEK LANI PITRAYANI +2 more
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