Results 121 to 130 of about 1,400,767 (236)

Black-scholes type equations

, 2005
In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black ...
Düring, Bertram
core   +1 more source

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  

The Sustainable Black-Scholes Equations

, 2018
In incomplete markets, a basic Black-Scholes perspective has to be complemented by the valuation of market imperfections. Otherwise this results in Black-Scholes Ponzi schemes, such as the ones at the core of the last global financial crisis, where ...
Crépey, Stéphane, Armenti, Yannick, Zhou, Chao   +2 more
core  

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

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

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
core  

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

Lie Symmetries Of The Black-Scholes Equation

, 2010
In this paper symmetry expansions for Black-Scholes equation are studied. Differently then the other studies in the literaTurkishe for Black-Scholes equation, we expanded the equation into a parametric form by adding a coefficient a.
Polat, R.
core   +1 more source

Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation [PDF]

A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs.
Michel Fournié, Ansgar Jüngel, Bertram Düring   +2 more
core  

Black-Scholes Model

reservedIl Modello Black-Scholes rappresenta uno degli strumenti più influenti nella finanza per la valutazione delle opzioni. Questa tesi analizza i fondamenti teorici del modello, esplorando le ipotesi di base, la derivazione matematica dell'equazione
CASNA, ALICE
core  

About discrete hedging and option pricing [PDF]

The approach that allows find European option price on the assumption of hedging at discrete times is proposed. The routine allows find the option price not for lognormal distribution functions of underlying asset only but for other classes of ...
Dmitry Yakovlev, Dmitry Zhabin
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