Results 71 to 80 of about 59,096 (226)
Quantum extension of European option pricing based on the Ornstein-Uhlenbeck process
, 2005 In this work we propose a option pricing model based on the Ornstein-Uhlenbeck process. It is a new look at the Black-Scholes formula which is based on the quantum game theory. We show the differences between a classical look which is price changing by a
Anna Zambrzycka +12 more
core +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 +2 more
wiley +1 more source
Abstract and Applied Analysis, 2013 An adaptive wavelet precise integration method (WPIM) based on the variational iteration method (VIM) for Black-Scholes model is proposed. Black-Scholes model is a very useful tool on pricing options.
Huahong Yan
doaj +1 more source
On the complete model with stochastic volatility by Hobson and Rogers [PDF]
We examine a recent model, proposed by Hobson and Rogers, which generalizes the classical one by Black and Scholes for pricing derivative securities such as options and futures.
Andrea Pascucci, Marco Di Francesco
core
Inscribing Impact: Measurement Practices in the Making of Moral Markets
Journal of Management Studies, EarlyView.Abstract Moral markets, designed to generate positive impact on pressing social and environmental challenges, are transforming traditional market practices by including more than economic considerations in their operations. The importance of these markets continues to grow as investors, regulators, and consumers increasingly put pressure on companies ...
Guillermo Casasnovas +2 more
wiley +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 +3 more
wiley +1 more source
Quantum effects in an expanded Black-Scholes model. [PDF]
Eur Phys J B, 2022 Bhatnagar A, Vvedensky DD.
europepmc +1 more source
Partial Observability of Implied Volatility Matrices: Identification and Covolatilities Filtering
Mathematical Finance, EarlyView.ABSTRACT Whereas data on implied volatilities are available for a large number of assets, this is less frequently the case of implied covolatilities. We introduce a new approach based on static and dynamic Wishart models to solve this problem of missing data.
Christian Gouriéroux, Yang Lu
wiley +1 more source
MathematicsThis paper discusses finding solutions to the modified Fractional Black–Scholes equation. As is well known, the options theory is beneficial in the stock market.
Agus Sugandha +3 more
doaj +1 more source
Environmental Pollution Liability Insurance Pricing and the Solvency of Insurance Companies in China: Based on the Black-Scholes Model. [PDF]
Int J Environ Res Public Health, 2023 Chen S, Yang J.
europepmc +1 more source