Results 61 to 70 of about 21,084,828 (274)

Numerical Solution of Fractional Black-Scholes Equation by Using Radial Basis Function (RBF) Approximation Method

پژوهش‌های ریاضی, 2020
Introduction Fractional Differential Calculus (FDC) began in the 17th century and its initial discussions were related to the works of Leibniz, Lagrange, Abel and others.
Sedighe Sharifian, Ali R. Siheili, A. Neisy   +2 more
doaj  

Drawbacks and Limitations of Black-Scholes Model for Options Pricing

Journal of Financial Studies & Research, 2018
Financial derivatives are becoming increasingly popular these days, not only as hedging instruments but they are also used more and more frequently for speculative transactions.
Zuzana Janková
semanticscholar   +1 more source

Implied volatility of basket options at extreme strikes

, 2014
In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality.
A d’Aspremont, A Gulisashvili, A Gulisashvili, A Gulisashvili, A Gulisashvili, A Lewis, A Medvedev, B Jourdain, E Benhamou, E Eberlein, E Gobet, E Hashorva, E Luciano, H Berestycki, J Figueroa-López, J Schoenmakers, JMP Albin, L Andersen, M Forde, M Forde, MR Tehranchi, O Barndorff-Nielsen, P Tankov, R Cont, R Lee, R Nelsen, S Asmussen, S Benaim, S Benaim, U Cherubini   +29 more
core   +1 more source

Skew Premiums Around Earnings Announcements

Financial Review, EarlyView.
ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley   +1 more source

Laplace Transform Homotopy Perturbation Method for the Two Dimensional Black Scholes Model with European Call Option

, 2017
The Black Scholes model is a well-known and useful mathematical model in financial markets. In this paper, the two-dimensional Black Scholes equation with European call option is studied. The explicit solution of this problem is carried out in the form of
Kamonchat Trachoo, Wannika Sawangtong, P. Sawangtong   +2 more
semanticscholar   +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, D. Diz‐Castro, M. Febrero‐Bande, W. González‐Manteiga   +3 more
wiley   +1 more source

The Development of Fractional Black–Scholes Model Solution Using the Daftardar-Gejji Laplace Method for Determining Rainfall Index-Based Agricultural Insurance Premiums

Mathematics
The Black–Scholes model is a fundamental concept in modern financial theory. It is designed to estimate the theoretical value of derivatives, particularly option prices, by considering time and risk factors. In the context of agricultural insurance, this
Astrid Sulistya Azahra, Muhamad Deni Johansyah, Sukono   +2 more
doaj   +1 more source

Fractional Black-Scholes model with regularized Prabhakar derivative

, 2017
We introduce a fractional type Black–Scholes model in European options including the regularized Prabhakar derivative. We apply the reconstruction of variational iteration method to get the approximate analytical solutions for some models of generalized ...
S. Eshaghi, A. Ansari, R. Khoshsiar, Mohammadreza Darani Ahmadi   +3 more
semanticscholar   +1 more source

Enterprise Data Valuation—A Targeted Literature Review

Journal of Economic Surveys, EarlyView.
ABSTRACT As digital transformation redefines business models, enterprise value increasingly depends on intangible assets, especially data, rather than traditional physical assets like buildings and equipment. Traditional accounting has long focused on valuing physical assets based on their anticipated future economic benefits, distinguishing between ...
Sai Krishnan Mohan, Gnana Bharathy, Akanksha Jalan   +2 more
wiley   +1 more source

An interval version of Black–Scholes European option pricing model and its numerical solution

Results in Applied Mathematics
The Black–Scholes model, a powerful tool for valuation of equity options specially European equity options, is based on assumptions that are violated in some situations due to market realities.
S. Zangoei Zadeh, M. Azizian, M. Sarvari
doaj   +1 more source