Results 61 to 70 of about 20,840,101 (209)
Local Volatility Changes in the Black-Scholes Model [PDF]
, 2000 Hans‐Peter Bermin +1 more
openalex +1 more source
A Stochastic Tree for Bubble Asset Modelling and Pricing
Journal of Time Series Analysis, Volume 46, Issue 5, Page 932-944, September 2025.ABSTRACT We introduce a new stochastic tree representation of a strictly stationary submartingale process for modelling, forecasting, and pricing speculative bubbles on commodity and cryptocurrency markets. The model is compared to other trees proposed in the literature on bubble asset modelling and stochastic volatility approximation. We show that the
Christian Gourieroux, Joann Jasiak
wiley +1 more source
Parametric Pricing of Higher Order Moments in S&P500 Options. [PDF]
A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as well as time-varying volatility are priced.
G.C. Lim, G.M. Martin, V.L. Martin
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Beberapa Aspek Tentang Black-scholes Option Pricing Model [PDF]
, 1998 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 ...
Arifin, Z. (Zaenal)
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Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model [PDF]
, 2000 Michael J. Stutzer
openalex +1 more source
Modeling and Forecasting the CBOE VIX With the TVP‐HAR Model
Journal of Forecasting, Volume 44, Issue 5, Page 1638-1657, August 2025.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 +2 more
wiley +1 more source
Journal of Futures Markets, Volume 45, Issue 8, Page 917-945, August 2025.ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from
Tak Kuen Siu
wiley +1 more source
Option Pricing: The empirical tests of the Black-Scholes pricing formula and the feed-forward networks [PDF]
In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till ...
Michaela Vlasáková Baruníková
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Penentuan Harga Dan Batas Eksekusi Opsi Tipe Amerika Model Black-Scholes Menggunakan Finite Element Methods (FEM) [PDF]
, 2012 Opsi dapat digunakan untuk memperoleh keuntungan dan membatasi jumlah kerugian akibat perubahan harga saham yang acak. Opsi tipe Amerika merupakan opsi yang paling banyak diperdagangkan di bursa opsi.
Ade Latif, S.Si. +2 more
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Global impacts of exotic eucalypt plantations on wildlife
Biological Reviews, Volume 100, Issue 4, Page 1734-1753, August 2025.ABSTRACT The establishment of exotic tree plantations poses a pervasive threat to wildlife across the globe. Among the most important tree species used for forestry purposes worldwide are members of the genus Eucalyptus, which have now been established in at least 107 countries outside of their native range.
Maider Iglesias‐Carrasco +5 more
wiley +1 more source