Results 41 to 50 of about 53,628 (205)

Convergence Numerically of Trinomial Model in European Option Pricing

International Research Journal of Business Studies, 2013
A European option is a financial contract which gives its holder a right (but not an obligation) to buy or sell an underlying asset from writer at the time of expiry for a pre-determined price.
Entit Puspita, Fitriani Agustina, Ririn Sispiyati   +2 more
doaj   +1 more source

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, KOMANG DHARMAWAN, I NYOMAN WIDANA   +2 more
doaj   +1 more source

Is (Independent) Subordination Relevant in Equity Derivatives?

Applied Stochastic Models in Business and Industry, EarlyView.
ABSTRACT Monroe (1978) demonstrates that any local semimartingale can be represented as a time‐changed Brownian Motion (BM). A natural question arises: does this representation theorem hold when the BM and the time‐change are independent? We prove that a local semimartingale is not equivalent to a BM with a time‐change that is independent from the BM ...
Michele Azzone, Roberto Baviera
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, Duoduo Xu, Ming Tian, Yingying Wang   +3 more
doaj   +1 more source

Hydrazine as a Reducing Agent in Catalytic Transfer Hydrogenation Processes: Up‐to date Overview Approaches

ChemCatChem, Accepted Article.
Transfer hydrogenation serves as an alternative platform to promote facile organic transformation in a selective and clean manner, due to its atomic economy, high efficiency, and sustainability. Hydrazine hydrate is one of the common reducing agents used in the selective transfer hydrogenation/reduction methodologies.
Michael G Kallitsakis, Kyriakos D Nikopoulos, Ioannis N. Lykakis   +2 more
wiley   +1 more source

An improved approximate method for solving two-dimensional time-fractional-order Black-Scholes model: a finite difference approach

AIMS Mathematics
In this paper, we considered the two-dimensional fractional-order Black-Scholes model in the Liouville-Caputo sense. The Black-Scholes model was an important tool in the financial market, used for determining option prices in the European-style market ...
Din Prathumwan, Din Prathumwan, Thipsuda Khonwai , Narisara Phoochalong, Inthira Chaiya, Kamonchat Trachoo   +5 more
doaj   +1 more source

Modeling and Forecasting the CBOE VIX With the TVP‐HAR Model

Journal of Forecasting, EarlyView.
ABSTRACT This study proposes the use of a heterogeneous autoregressive model with time‐varying parameters (TVP‐HAR) to model and forecast the Chicago Board Options Exchange (CBOE) volatility index (VIX). To demonstrate the superiority of the TVP‐HAR model, we consider six variations of the model with different bandwidths and smoothing variables and ...
Wen Xu, Pakorn Aschakulporn, Jin E. Zhang   +2 more
wiley   +1 more source

Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India

International Journal of Economics and Financial Issues, 2012
The main objectives of this paper are to incorporate modification in Black-Scholes option pricing model formula by adding some new variables on the basis of given assumption related to risk-free interest rate, and also shows the calculation process of ...
Matloob Ullah Khan, Ambrish Gupta, Sadaf Siraj   +2 more
doaj   +4 more sources

Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?

Journal of Futures Markets, EarlyView.
ABSTRACT In this paper, we investigate alternative one‐factor and two‐factor continuous‐time models with both affine and non‐affine variance dynamics for the Chinese options market. Through extensive empirical analysis of the option panel fit and diagnostics, we find that it is necessary to include both the non‐affine feature and the multi‐factor ...
Yifan Ye, Zheqi Fan, Xinfeng Ruan
wiley   +1 more source

The Quantum Black-Scholes Equation [PDF]

, 2006
Motivated by the work of Segal and Segal on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus.
Accardi, Luigi, Boukas, Andreas
core   +1 more source