Analysis of the sensitivity to discrete dividends : A new approach for pricing vanillas [PDF]
The incorporation of a dividend yield in the classical option pricing model of Black- Scholes results in a minor modification of the Black-Scholes formula, since the lognormal dynamic of the underlying asset is preserved. However, market makers prefer to
Arnaud Gocsei, Fouad Sahel
core
Weighted BMO and discrete time hedging within the Black-Scholes model [PDF]
, 2004 Stefan Geiß
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Number Two Executives: Bottom‐Up Monitoring
Journal of Business Finance &Accounting, Volume 52, Issue 4, Page 2037-2061, August 2025.ABSTRACT This article empirically examines the role of a firm's second‐in‐command in monitoring the chief executive officer (CEO) from the bottom up to mitigate agency problems. Although CEOs have long been the focus, little research has addressed No. 2 executive. This study provides a comprehensive understanding of these top executives and their roles
Zhichuan (Frank) Li
wiley +1 more source
„BLACK-SCHOLES MODEL USED TO EVALUATE STOCKS OPTIONS” [PDF]
Partial differential equation, parabolic Black-Scholes type, is used in evaluating equity options, that paying constant and continue dividends or in evaluate options in which interest rate, volatility and dividend are dependent on time.stocks, options ...
Turcan Radu Olimpiu Calin
core
Parameter risk in the Black and Scholes model [PDF]
We study parameter or estimation risk in the hedging of options. We suppose that the world is such that the price of an asset follows a stochastic differential equation. The only unknown is the (future) volatility of the asset.
Henrard Marc
core
A Linear Algorithm for Black Scholes Economic Model [PDF]
The pricing of options is a very important problem encountered in financial domain. The famous Black-Scholes model provides explicit closed form solution for the values of certain (European style) call and put options.
Dumitru FANACHE, Ion SMEUREANU
core
Understanding Black-Scholes Option Pricing Model [PDF]
, 2007 Eun‐Kyung Lee, Yoon-Dong Lee
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Determining the implied volatility in the Dupire equation for vanilla European call options
, 2013 The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining the implied volatility, which is a function of the underlying asset, from a collection of
Bellassoued, Mourad +3 more
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Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models [PDF]
, 2011 Shu Ho, Alan Lee, Alastair Marsden
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The Pricing and Hedging of an Attainable Claim in a Hybrid Black–Scholes Model under Regime Switching [PDF]
, 2021 Kuanhou Tian, Yanfang Li, Guixin Hu
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