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
Formulating black Scholes equation using a jump diffusion Heston’s model [PDF]
, 2022 Oduor D Brian
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, 2007 9 pages dont 1 page de bibliographieEXACT SOLUTION OF THE INVERSE PROBLEM OF OPTION PRICING IN THE BLACK-SCHOLES MODEL The main result of this study concerns the expression of the volatility of an option as a function of the other parameters intervening ...
Jacquinot, Philippe, Sukhomlin, Nikolay
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Mispricing in the Black-Scholes model: an exploratory analysis
, 1993 Kai-one Sriplung
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Derivation of black Scholes equation using Heston’s model with dividend yielding asset [PDF]
, 2022 Oduor D Brian
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A weighted finite difference method for subdiffusive Black Scholes Model [PDF]
Computers and Mathematics with Applications, 2019 G. Krzyzanowski +2 more
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Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English) [PDF]
The paper focuses on the replication of digital options under an incomplete model. Digital options are regularly applied in the hedging and static decomposition of many path-dependent options.
Tomáš Tichý
core
Limit behavior of the prices of a barrier option in the Black–Scholes model with random drift and volatility [PDF]
, 2012 Yuliya Mishura, Yu. V. Yukhnovs’kiĭ
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AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK-SCHOLES MODEL [PDF]
, 2013 Darae Jeong +4 more
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Valuation of 5G mmWave Fixed Wireless Access in Residence Area: Analysis of Real Option for Wireless Broadband Service in Kota Wisata Cibubur Using Decision Tree and Black Scholes Model [PDF]
, 2022 May Hendra Panjaitan, Catur Apriono
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