Results 121 to 130 of about 1,920,083 (235)

Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach

, 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), Rogemar S Mamon (20192334)   +1 more
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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
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Scholes

Lecture given at Alfred ...
Scholes
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Scholes Library MC33

, 2020
This finding aid lists the collection's contents as Scholes Library administrative records, projects, and proposals as well as director ...

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

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

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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Discrete modeling of the Black- Scholes formula

, 2016
Předmětem bakalářské práce je provést s využitím výpočetních nástrojů diskrétní simulaci vývoje cen opcí. Začátek práce je věnován historii a úvodu do teorie opcí.
Lábr, Jaroslav
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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
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