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On modified Black–Scholes equation
Chaos, Solitons & Fractals, 2004zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ahmed, E., Abdusalam, H. A.
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Adapting Black-Scholes to a non-Black-Scholes environment via genetic programming
Proceedings of the IEEE/IAFE/INFORMS 1998 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.98TH8367), 2002The authors propose a new methodology that uses genetic programming to approximate the relationship between option price, the terms of the option contract, and properties of the underlying stock price. A crucial advantage of the genetic programming approach is that one can include the Black-Scholes formula in the parameter set, which allows one to ...
N. K. Chidambaran +2 more
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Black Scholes: The Imperfect Hedge
SSRN Electronic Journal, 2018This paper follows up a discussion in the authors previous work on Louis Bachelier, examining the Black Scholes Merton model and reviewing the Payoff, Profit and Value of the option contract so defined. The paper in doing so addresses the contention that a perfect hedge can be achieved finding this is not achieved.
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1997
The option pricing model developed by Black and Scholes (1973), formalized and extended in the same year by Merton (1973a), enjoys great popularity. It is computationally simple and, like all arbitrage-based pricing models, does not require the knowledge of an investor’s risk preferences.
Marek Musiela, Marek Rutkowski
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The option pricing model developed by Black and Scholes (1973), formalized and extended in the same year by Merton (1973a), enjoys great popularity. It is computationally simple and, like all arbitrage-based pricing models, does not require the knowledge of an investor’s risk preferences.
Marek Musiela, Marek Rutkowski
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2013
For the Black-Scholes model, as introduced in the last chapter, we can now derive the no-arbitrage price of a European-style option – the so-called Black-Scholes formula. In Section 7.1, we will discuss a direct approach to obtaining the Black-Scholes formula as the solution of a partial differential equation.
Hansjoerg Albrecher +3 more
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For the Black-Scholes model, as introduced in the last chapter, we can now derive the no-arbitrage price of a European-style option – the so-called Black-Scholes formula. In Section 7.1, we will discuss a direct approach to obtaining the Black-Scholes formula as the solution of a partial differential equation.
Hansjoerg Albrecher +3 more
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2008
In the last three decades increased attention has been paid to the valuation of the contingent claims whose value depend on underlying financial instruments, called securities. One of the most significant achievements in modern investment sciences is the Black-Scholes option pricing model.
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In the last three decades increased attention has been paid to the valuation of the contingent claims whose value depend on underlying financial instruments, called securities. One of the most significant achievements in modern investment sciences is the Black-Scholes option pricing model.
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2011
In this chapter we present some of the fundamental ideas of arbitrage pricing in continuous time, illustrating Black-Scholes theory from a point of view that is, as far as possible, elementary and close to the original ideas in the papers by Merton [250], Black and Scholes [49].
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In this chapter we present some of the fundamental ideas of arbitrage pricing in continuous time, illustrating Black-Scholes theory from a point of view that is, as far as possible, elementary and close to the original ideas in the papers by Merton [250], Black and Scholes [49].
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SSRN Electronic Journal, 2009
Option professionals routinely tweak the Black-Scholes option pricing model using a volatility smile. Using algebraic analysis and Monte Carlo simulation experiments, we compare the hedging performance of the tweaked Black-Scholes option pricing model with a stochastic volatility model in a stochastic volatility setting.
Do-Sub Jung, Charles J. Corrado
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Option professionals routinely tweak the Black-Scholes option pricing model using a volatility smile. Using algebraic analysis and Monte Carlo simulation experiments, we compare the hedging performance of the tweaked Black-Scholes option pricing model with a stochastic volatility model in a stochastic volatility setting.
Do-Sub Jung, Charles J. Corrado
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2003
An introduction to mathematical finance would not be complete without an exposition of its most famous result: the Black—Scholes formula for the price of European call and put options.
J. C. Cox, S. A. Ross, M. Rubinstein
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An introduction to mathematical finance would not be complete without an exposition of its most famous result: the Black—Scholes formula for the price of European call and put options.
J. C. Cox, S. A. Ross, M. Rubinstein
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1995
Introduction We begin this chapter with a discussion of the concept of arbitrage, a concept which, in certain circumstances, allows us to establish precise relationships between prices and thence to determine them. We then discuss option strategies in general and use arbitrage, together with the model for asset price movements that we discussed in ...
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Introduction We begin this chapter with a discussion of the concept of arbitrage, a concept which, in certain circumstances, allows us to establish precise relationships between prices and thence to determine them. We then discuss option strategies in general and use arbitrage, together with the model for asset price movements that we discussed in ...
openaire +1 more source