Results 81 to 90 of about 53,628 (205)
A Non-Gaussian Option Pricing Model with Skew
, 2004 Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L.
Borland, L., Bouchaud, J. P.
core +3 more sources
A Pure Dual Approach for Hedging Bermudan Options
Mathematical Finance, EarlyView.ABSTRACT This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a “purely dual” algorithm following the spirit of Rogers in the sense that it only relies on the dual pricing formula.
Aurélien Alfonsi +2 more
wiley +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
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
Empirical study of black-scholes warrant pricing model on the stock exchange of Malaysia [PDF]
, 2004 This paper addresses the question of how well the best-known warrant/ option pricing model – the Black-Scholes model – work in the stock exchange of Malaysia. Results of most studies (Rubinstein, 1981; Geske, Roll, & Shastri, 1983; Scott, 1987) have been
Hong, Boon Kyun
core
Under what conditions? A scenario‐based approach for exploring the prerequisites of future events
FUTURES &FORESIGHT SCIENCE, Volume 7, Issue 1, April 2025.Abstract In an increasingly complex world, futures thinking can be used to understand the conditions that define future events' realization. This paper presents a novel approach to explore under what conditions some chosen future event would occur. The approach can be seen as a fusion of exploratory scenarios with the backward‐looking perspective of ...
Tommi Ekholm, Theresa Schaber
wiley +1 more source
A closed-form GARCH option pricing model [PDF]
This paper develops a closed-form option pricing formula for a spot asset whose variance follows a GARCH process. The model allows for correlation between returns of the spot asset and variance and also admits multiple lags in the dynamics of the GARCH ...
Saikat Nandi, Steven L. Heston
core
Numerický model oceňování evropské kupní opce [PDF]
, 2010 In this paper a mathematical model of European call options prizing is presented. This model is based on reduced Black-Scholes partial differential equation, discretized employing the finite difference method. The results of this model and of the exact
Seinerová, Kateřina
core +1 more source
Ibis, Volume 167, Issue 2, Page 481-497, April 2025.Sexual traits, such as visual adornments, sound‐based cues and courtship dances, are frequently displayed in combination as multimodal signals. Some hypotheses propose that different signals trade‐off with each other, potentially due to resource limitations (‘trade‐off’ or transfer hypothesis) or that these develop simultaneously to enhance ...
Sonia Ariznavarreta +2 more
wiley +1 more source
Application of Microlocal Analysis to an Inverse Problem Arising from Financial Markets [PDF]
, 2014 One of the most interesting problems discerned when applying the Black--Scholes model to financial derivatives, is reconciling the deviation between expected and observed values.
Doi, Shin-ichi, Ota, Yasushi
core