Results 91 to 100 of about 1,920,083 (235)
Information‐Theoretic Approach to Financial Market Modeling
Mathematical Finance, EarlyView.ABSTRACT The paper treats the financial market as a communication system, using four information‐theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model maximizes the surprisal of the market and minimizes the Kullback–Leibler divergence between the benchmark‐neutral pricing
Eckhard Platen
wiley +1 more source
RISK-FREE INTERNAL GAINS – BLACK AND SCHOLES RE-EXAMINED [PDF]
In this paper we first show that if a not-necessarily-self-financing portfolio has instantaneously riskless internal gains, then on an infinitesimal time-interval, the increase in the internal gains on the portfolio is the same as the change in the price
Gergei Bana
core
Black-Scholes and Monetary Black Holes [PDF]
, 2005 The Black-Scholes formula is fundamental to modeling carried out in the financial world. Black-Scholes presents investment bankers a method of evaluating a stock in order to know how much to charge for a premium when dealing with options; a way of ...
Krumme, John P
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Black-Scholes : En prissättningsmodell för optioner
, 2010 This paper aims to derive the Black-Scholes equation for readers without advanced knowledge in finance and mathematics. To succeed, this paper contains a theoretical chapter in which concepts such as options, interest rate, differential equations and ...
Lindström, Linnea
core +2 more sources
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
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
core
Black-Scholes -malli eurooppalaisten optioiden hinnoittelussa [PDF]
, 2020 Black-Scholes -malli on eurooppalaisten optioiden hinnoittelussa käytetty malli. Se on kehitelty jo 1970 -luvulla, mutta on edelleen yksi optioiden hinnoittelussa yleisimmin käytetyistä malleista.
Lempinen, Antti
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Fading Attention and the Pricing of Default Risk in the German Market for Structured Products
Journal of Futures Markets, Volume 46, Issue 10, Page 1787-1808, October 2026.ABSTRACT Structured retail products are unsecured bonds subject to the default risk of the issuer. We analyze the price‐setting policy of issuers with respect to this default risk. Using a long‐term data set of discount certificates in the German market, we apply a time series IVX‐approach to find that (i) quoted prices do depend on issuer default risk,
Rainer Baule, Falk Jensen
wiley +1 more source
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
core
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
core