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MathematicsThe Black–Scholes model is a fundamental concept in modern financial theory. It is designed to estimate the theoretical value of derivatives, particularly option prices, by considering time and risk factors. In the context of agricultural insurance, this
Astrid Sulistya Azahra +2 more
doaj +1 more source
Improving Implied Volatility Forecasts for American Options Using Neural Networks
Journal of Futures Markets, Volume 46, Issue 6, Page 1137-1153, June 2026.ABSTRACT This paper explores the application of neural networks to improve pricing of American options. Focusing on both American and European options on the S&P 100 index from January 2016 to August 2023, we integrate neural networks to model the difference between market‐implied and model‐implied volatilities derived from the Black‐Scholes and Heston
Haitong Jiang, Emese Lazar, Miriam Marra
wiley +1 more source
A Framework for Derivative Pricing in the Fractional Black-Scholes Market [PDF]
The aim of this paper is to develop a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
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A family of positive nonstandard numerical methods with application to Black-Scholes equation [PDF]
Sahand Communications in Mathematical Analysis, 2017 Nonstandard finite difference schemes for the Black-Scholes partial differential equation preserving the positivity property are proposed. Computationally simple schemes are derived by using a nonlocal approximation in the reaction term of the Black ...
Mohammad Mehdizadeh Khalsaraei +1 more
doaj
Pricing European and Barrier Options in the Fractional Black-Scholes Market [PDF]
The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
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GeoHealth, Volume 10, Issue 6, June 2026.Abstract Particulate matter (PM) exposure is a leading risk factor for cardiovascular and respiratory morbidity and mortality across the world. While arid and semi‐arid regions account for more than 40% of terrestrial land, there is a paucity of research investigating the relationship between PM exposure and health outcomes or how risk varies across ...
Emmet Norris +5 more
wiley +1 more source
Simple Formulas to Option Pricing and Hedging in the Black- Scholes Model [PDF]
For option whose striking price equals the forward price of the underlying asset, the Black-Scholes pricing formula can be approximated in closed-form. A interesting result is that the derived equation is not only very simple in structure but also that ...
paolo pianca
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Black–Scholes-malli ja volatiliteettihymy [PDF]
, 2008 Johdannaisten käytön räjähdysmäinen kasvu 1970-luvulta lähtien on asettanut ja asettaa yhä vaatimuksia niiden hinnoittelumalleille. Tunnetuin johdannaisten hinnoittelussa käytetty malli on Frank Blackin ja Myron Scholesin (1973) sekä Robert Mertonin ...
AHO, ANTTI
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Financial Statement Information and Equity Value: The Role of Real Options Characteristics
Financial Management, Volume 55, Issue 2, Page 301-328, Summer 2026.ABSTRACT This paper examines whether firm‐specific real options characteristics are equity value‐relevant beyond valuation estimates anchored in financial statements. Using extensive historical data for the United Kingdom, we assess and compare the forecast accuracy and explanatory power for stock prices of equity valuation models based on residual ...
Mingyu (Chandler) Chen +2 more
wiley +1 more source
Black-Scholes Martingale Model: An Algorithm Analysis
, 2010 As trading volume and variety of option contracts keep increasing in financial markets around the world, computing speed and running time of financial software have become crucial factors at options trading board where appropriate pricing of option ...
440 +7 more
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