Results 61 to 70 of about 23,860,994 (221)

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

About the valuation of American option under Black-Scholes model : a numerical study

Moroccan Journal of Pure and Applied Analysis, 2023
In the history of option pricing, Black-Scholes model is one of the most significant models. In this paper, we present a new numerical strategy for valuing American option pricing problems governed by Black-Scholes model (BSM). Numerical computations are
Malek R.
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

Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function

International Statistical Review, EarlyView.
Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler, Denis Belomestny, Simos George Meintanis, Emanuele Taufer   +3 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

Fractional Black-Scholes Model and Technical Analysis of Stock Price

Journal of Applied Mathematics, 2013
In the stock market, some popular technical analysis indicators (e.g., Bollinger bands, RSI, ROC, etc.) are widely used to forecast the direction of prices.
Song Xu, Yujiao Yang
doaj   +1 more source

Parenthood and CEO Responses to Media Criticism on Pay

Journal of Management Studies, EarlyView.
Abstract Research on media coverage of controversial corporate practices typically suggests firms respond instrumentally to mitigate stakeholder reactions. However, we argue that CEOs' moral concerns can sometimes override strategic considerations, because media criticism may expose them to scrutiny from personally valued audiences – for instance ...
Steffen Brenner, Georg Wernicke
wiley   +1 more source

Comparison: Binomial model and Black Scholes model

, 2018
The Binomial Model and the Black Scholes Model are the popular methods that are used to solve the option pricing problems. Binomial Model is a simple statistical method and Black Scholes model requires a solution of a stochastic differential equation ...
A. Dar, N. Anuradha
semanticscholar   +1 more source

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

Measure‐valued processes for energy markets

Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.
Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source