Results 71 to 80 of about 23,860,994 (221)

Effects of market sentiment in index option pricing: a study of CNX NIFTY index option [PDF]

This paper provides evidence of the role of sentiments in pricing Indian CNX Nifty index call Option during the period from April 2002 to December 2008. It also shows that Black-Scholes option pricing model using the implied volatility of previous day is
Malipeddi, Koteswararao, Nagarajan, Thirukumaran   +1 more
core   +1 more source

Perpetual Futures Pricing

Mathematical Finance, EarlyView.
ABSTRACT Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no‐arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and ...
Damien Ackerer, Julien Hugonnier, Urban Jermann   +2 more
wiley   +1 more source

Adaptive Wavelet Precise Integration Method for Nonlinear Black-Scholes Model Based on Variational Iteration Method

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

Robust option replication for a Black-Scholes model extended with nondeterministic trends [PDF]

, 2012
Statistical analysis on various stocks reveals long range dependence behavior of the stock prices that is not consistent with the classical Black and Scholes model.
Kloeden, Peter E., Schoenmakers, John G. M.   +1 more
core  

The meshless local Petrov–Galerkin based on moving kriging interpolation for solving fractional Black–Scholes model

, 2016
In this paper, the fractional Black–Scholes equation in financial problem is solved by using the numerical techniques for the option price of a European call or European put under the Black–Scholes model.
P. Phaochoo, A. Luadsong, N. Aschariyaphotha   +2 more
semanticscholar   +1 more source

The Peculiar Logic of the Black-Scholes Model

Philosophia Scientiæ, 2018
The Black-Scholes(-Merton) model of options pricing establishes a theoretical relationship between the “fair” price of an option and other parameters characterizing the option and prevailing market conditions.
J. Weatherall
semanticscholar   +1 more source

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source

EMPIRICAL STUDY ON THE PERFORMANCES OF BLACK-SCHOLES MODEL FOR EVALUATING EUROPEAN OPTIONS [PDF]

In this study we aim at analyzing the way the model Black-Scholes works in practice. The data used for analysis refer to European-type call options having as supportassets the CAC-40 money-market index. Our approach will be structured in two parts.
Armeanu, Dan, Vasile, Emilia
core  

Digitalisation of International Trade in Intellectual Properties: An Approach Based on the Utility Theory of Technology Value

The World Economy, EarlyView.
ABSTRACT In the era of globalisation and digital transformation, international trade has expanded beyond traditional goods and services to include the exchange of intellectual properties (IPs), particularly technology. As intangible assets become key drivers of global economic growth, accurately valuing them remains a complex challenge due to their ...
Xiaolan Fu, Jing Zhang, Chao Ai, Xiaoqing (Maggie) Fu   +3 more
wiley   +1 more source

Using a Mix of Finite Difference Methods and Fractional Differential Transformations to Solve Modified Black–Scholes Fractional Equations

Mathematics
This 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, Endang Rusyaman, Sukono, Ema Carnia   +3 more
doaj   +1 more source