Results 101 to 110 of about 31,684 (198)

Option Pricing: The empirical tests of the Black-Scholes pricing formula and the feed-forward networks [PDF]

In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till ...
Michaela Vlasáková Baruníková
core   +1 more source

A NUMERICAL QUADRATURE APPROACH TO OPTION VALUATION IN WATER MARKETS [PDF]

The standard Black-Scholes approach to option valuation becomes cumbersome and may fail to yield a solution when applied to non-standard options such as those emerging in water markets.
Villinski, Michele T.
core   +1 more source

Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market [PDF]

This paper investigates the pricing bias in the Swedish OMX-Index Option market and how a stochastic volatility affects European call option prices. The market is purely European and without dividends for the period studied. A CIR square-root process for
Byström , Hans
core  

Precificação de Opções com Volatilidade Estocástica

Option pricing with stochastic volatility

Precificación de Opciones con Volatilidad Estocástica

Revista Brasileira de Gestão De Negócios, 2004
RESUMOEntre as suposições subjacentes do modelo Black-Scholes-Merton, as maiores polarizações empíricas são causadas por aquelas com uma volatilidade fixa do recurso subjacente.
MARTIN, Diógenes Manoel Leiva
doaj  

Convergence Numerically of Trinomial Modelin European Option Pricing

International Research Journal of Business Studies, 2014
A European option is a financial contract which gives its holder a right (but not an obligation) to buy or sell an underlying asset from writer at the time of expiry for a pre-determined price.
Entit Puspita, Fitriani Agustina, Ririn Sispiyati   +2 more
doaj  

Black-Scholes-optiohinnoittelumalli

, 2012
Optiot ovat yhä merkittävämpi osa rahoitusmarkkinoita, mutta niiden hinnoittelu nojaa edelleen pitkälti Black-Scholes-optiohinnoittelumalliin, joka esitettiin jo vuonna 1973. Rajoitteistaan huolimatta tämän mallin ymmärtäminen on erittäin tärkeää rahoitusalasta kiinnostuneille. Tämän tutkielman tavoitteena on avata Black-Scholes-optiohinnoittelumallin
openaire   +1 more source

PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black-Scholes Equation. [PDF]

Entropy (Basel), 2019
Hicks W.
europepmc   +1 more source

An unconditionally stable, positivity-preserving splitting scheme for nonlinear Black-Scholes equation with transaction costs. [PDF]

ScientificWorldJournal, 2014
Guo J, Wang W.
europepmc   +1 more source

Solving the Black-Scholes Partial Differential Equation via the Solution Method for a One-Dimensional Heat Equation: A Pedagogic Approach with a Spreadsheet-Based Illustration

Spreadsheets in Education, 2019
The derivation of the Black-Scholes option pricing model, if covered in detail, is by far the most complicated among all major models in the finance curriculum.
Clarence C. Y. Kwan
doaj  

Evaluation of Options using the Black-Scholes Methodology

Expert Journal of Economics, 2019
This paper discusses how to obtain the Black-Scholes equation to evaluate options and how to obtain explicit solutions for Call and Put. The Black-Scholes equation, which is the basis for determining explicit solutions for Call and Put, is a rather ...
Vasile BRĂTIAN
doaj