Results 181 to 190 of about 1,400,767 (236)
Some of the next articles are maybe not open access.
An inverse Black–Scholes problem
Optimization and Engineering, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Riane, Nizar, David, Claire
openaire +1 more source
On modified Black–Scholes equation
Chaos, Solitons & Fractals, 2004zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ahmed, E., Abdusalam, H. A.
openaire +1 more source
Black Scholes 50th Anniversary
Wilmott, 2023How time flies when you are making money
openaire +1 more source
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
openaire +1 more source
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.
openaire +1 more source
Study of Black-Scholes Model and its Applications
Procedia Engineering, 2012 The aim of this paper is to study the Black-Scholes option pricing model. We discuss some definitions and different derivations, which are useful for further development of Black-Scholes formula and Black-Scholes partial differential equation.
Shinde, A.S., Takale, K.C.
exaly +2 more sources
SSRN Electronic Journal, 2004
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.
openaire +1 more source
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.
openaire +1 more source
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
openaire +1 more source
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
openaire +1 more source
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
openaire +1 more source
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
openaire +1 more source