Results 41 to 50 of about 58,908 (171)
Beberapa aspek tentang black-scholes option pricing model
Jurnal Akuntansi dan Auditing Indonesia, 2018 Nobel Ekonomi 1997 diberikan kepada Myron Scholes dan Robert Merton. Myron Scholes bersama Fisher Black memberi landasan yang sangat penting dalam teori sekuritas derivatif dengan menemukan model penilaian opsi Black-Scholes Option Pricing Model (OPM ...
Zaenal Arifin
doaj
Penilaian Harga Opsi Put Saham NVIDIA Menggunakan Model Black–Scholes dan LSTM
Techno.ComSaham NVIDIA dalam beberapa tahun terakhir mengalami pertumbuhan laba dan volatilitas harga yang cukup tinggi. Volatilitas ini dapat menimbulkan risiko kerugian akibat penurunan harga saham.
Rifky Miftaqul Ilmi +2 more
doaj +1 more source
Board Independence and Adjustment Speed of CEO Inside Debt
European Financial Management, EarlyView.ABSTRACT We find that firms with more independent directors adjust CEO inside debt towards an optimum more quickly. This effect is more pronounced in financially unconstrained, growth, and under‐levered firms, and also firms led by more powerful or overconfident CEOs.
Bonnie Buchanan, Shuhui Wang, Tina Yang
wiley +1 more source
Financial Statement Information and Equity Value: The Role of Real Options Characteristics
Financial Management, Volume 55, Issue 2, Page 301-328, Summer 2026.ABSTRACT This paper examines whether firm‐specific real options characteristics are equity value‐relevant beyond valuation estimates anchored in financial statements. Using extensive historical data for the United Kingdom, we assess and compare the forecast accuracy and explanatory power for stock prices of equity valuation models based on residual ...
Mingyu (Chandler) Chen +2 more
wiley +1 more source
Mathematics, 2018 It is well known that the Black-Scholes model is used to establish the behavior of the option pricing in the financial market. In this paper, we propose the modified version of Black-Scholes model with two assets based on the Liouville-Caputo fractional ...
Panumart Sawangtong +3 more
doaj +1 more source
Optimal hedging of Derivatives with transaction costs
, 2005 We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction).
Avellaneda M. +4 more
core +3 more sources
A review on Black-Scholes model in pricing warrants in Bursa Malaysia [PDF]
, 2016 This paper studies the accuracy of the Black-Scholes (BS) model and the dilution-adjusted Black-Scholes (DABS) model to pricing some warrants traded in the Malaysian market.
Abdul Rahim, Norhuda +2 more
core +1 more source
The Role of Index Fund Ownership in the Era of Say‐on‐Pay
Financial Management, EarlyView.ABSTRACT We examine whether and how index funds influence executive compensation in the post‐Say‐on‐Pay era. Using the annual reconstitution of the Russell indexes as a source of exogenous variation in index fund ownership, we document a causal effect of index ownership on CEO pay structure.
Kiseo Chung, Hwanki Brian Kim
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
core +1 more source
A Comparative Review of Specification Tests for Diffusion Models
International Statistical Review, EarlyView.Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez +3 more
wiley +1 more source