Results 111 to 120 of about 1,400,767 (236)
Learning agents in Black-Scholes financial markets. [PDF]
R Soc Open Sci, 2020 Vaidya T, Murguia C, Piliouras G.
europepmc +1 more source
Black-Scholes and Monetary Black Holes
, 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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THE ANALYTICAL SOLUTIONS OF EUROPEAN OPTIONS ON SHARES PRICING MODELS
Jurnal Akuntansi dan Keuangan, 2004 The Black-Scholes options formula is the breakthrough in valuating options prices. However, the formula is heavily based on several assumptions that are not realistic in practice. The extensions of the assumptions are needed to make options pricing model
Andriansyah Andriansyah
doaj
Black-Scholes Theory and Diffusion Processes on the Cotangent Bundle of the Affine Group. [PDF]
Entropy (Basel), 2020 Jayaraman AS, Campolo D, Chirikjian GS.
europepmc +1 more source
Black-Scholes and Extended Black-Scholes Models: A Comparative Statistical Analysis
, 2007 Much research has been done on options pricing. Black and Scholes [12] set the benchmark in 1973 with their model for arbitrage-free, risk-neutral options valuation. Arbitrage-free refers to a market environment where prices are such that trading opportunities with no risk do not exist and risk-neutral commodities earn a risk free interest rate.
openaire +2 more sources
, 2007 We show that the problem of recovering the time-dependent parameters of an equation of Black-Scholes type can be formulated as an inverse Stieltjes moment problem. An application to the problem of implied volatility calculation in the case when the model
Marianito R Rodrigo (20192331) +1 more
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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
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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
The black-Scholes formula and the Greek parameters for a nonlinear Black-Scholes equation
, 2016 We study the Greek (risk) parameters of a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of transaction costs. These parameters are derived from the Black-Scholes formula of the nonlinear Black-Scholes equation
Esekon, Joseph E
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The DF Structure Models for Options Pricing On the Dividend- Paying and Capital-Splitting [PDF]
Based on the DF structure models for option pricing (F. Dai, 2005), this paper discusses further the DF structure models on three cases, i.e., the underlying stock being dividend-paid, capital-split or dividend-paid and capital-split.
Feng Dai
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