Black-Scholes Flexibility of European Companies in the Digital Age [PDF]
SHS Web of Conferences, 2021 Research background: “How much is flexibility worth?” This question is the title of one of almost countless contributions. In these, procedures are discussed with which existing room for manoeuvres in corporate management can be quantitatively mapped ...
Uzik Martin, Runge Christopher
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Quanto Pricing beyond Black–Scholes [PDF]
Journal of Risk and Financial Management, 2021 Since their introduction, quanto options have steadily gained popularity. Matching Black–Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models.
Fink, Holger Maria, Mittnik, Stefan
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Three little arbitrage theorems
Frontiers in Applied Mathematics and Statistics, 2023 The authors proved three theorems about the exact solutions of a generalized or interacting Black–Scholes equation that explicitly includes arbitrage bubbles. These arbitrage bubbles can be characterized by an arbitrage number AN.
Mauricio Contreras G. +2 more
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Option pricing under Black–Scholes, Boness and Binomial tree models- evidence from the gold coin option contracts in Iran mercantile exchange Mahdie Amiri [PDF]
فصلنامه بورس اوراق بهادار, 2020 The purpose of this research is the pricing of gold coin option contracts in Iran mercantile exchange. The price of gold coin option contracts has been estimated by the Black–Scholes,Boness and Binomial tree models.For this purpose, the theoretical ...
Mahdie Amiri
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Black-Scholes option pricing within Ito and Stratonovich conventions [PDF]
, 2000 Options financial instruments designed to protect investors from the stock market randomness. In 1973, Fisher Black, Myron Scholes and Robert Merton proposed a very popular option pricing method using stochastic differential equations within the Ito ...
Arthur +32 more
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Studying a Tumor Growth Partial Differential Equation via the Black–Scholes Equation
Computation, 2020 Two equations are considered in this paper—the Black–Scholes equation and an equation that models the spatial dynamics of a brain tumor under some treatment regime. We shall call the latter equation the tumor equation.
Winter Sinkala, Tembinkosi F. Nkalashe
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Capturing the volatility smile: parametric volatility models versus stochastic volatility models [PDF]
Public and Municipal Finance, 2016 Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility.
Belen Blanco
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Analytical solution of time-fractional N-dimensional Black-Scholes equation using LHPM
Ratio Mathematica, 2023 A famous Black-Scholes differential equation is used for pricing options in financial world which represents financial derivatives more significantly. Option is one of the crucial financial derivatives. Sawangtong P., Trachoo K., Sawangtong W.
Sanjay Ghevariya, CHETANBHAI PATEL
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Searching for the Kuhnian moment : the Black-Scholes-Merton formula and the evolution of modern finance theory [PDF]
, 2007 The Black-Scholes-Merton formula has been put to widespread use by options traders because it provides a means of calculating the theoretically 'correct' price of stock options.
Anderson R. J. +22 more
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Acta Economica, 2014 Starting in 1973 with publishing the paper The pricing of Options and Corporate Liabilities, Fischer Black and Myron Scholes made a revolution in the world of fnances.
Драган Јањић
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