Results 31 to 40 of about 31,684 (198)

Empirical examination of the Black–Scholes model: evidence from the United States stock market

Frontiers in Applied Mathematics and Statistics
Option pricing is crucial in enabling investors to hedge against risks. The Black–Scholes option pricing model is widely used for this purpose. This paper investigates whether the Black–Scholes model is a good indicator of option pricing in the United ...
Monsurat Foluke Salami
doaj   +1 more source

The Progress of Black-Scholes Model and Black-Scholes-Merton Model

BCP Business & Management, 2023
Black-Scholes (BS) model was first proposed in 1973, which has been modified by Robert Merton as the Black-Scholes-Merton (BSM) model subsequently. Contemporarily, these two models have been widely used and praised by financial scholars as well as employees.
Lujian Wang, Minqing Zhang, Zhao Liu
openaire   +1 more source

A Generalized Model for Pricing Financial Derivatives Consistent with Efficient Markets Hypothesis—A Refinement of the Black-Scholes Model

Risks, 2023
This research article provides criticism and arguments why the canonical framework for derivatives pricing is incomplete and why the delta-hedging approach is not appropriate.
Jussi Lindgren
doaj   +1 more source

Nonparametric estimates of pricing functionals [PDF]

, 2017
We analyze the empirical performance of several non-parametric estimators of the pricing functional for European options, using historical put and call prices on the S&P500 during the year 2012. Two main families of estimators are considered, obtained by
d'Addona, Stefano, Marinelli, Carlo
core   +2 more sources

The Role of Price‐Volatility Cojumps in Volatility Forecasting

Journal of Futures Markets, EarlyView.
ABSTRACT This paper investigates whether simultaneous jumps in prices and volatility improve volatility forecasting. Using up‐to‐date high‐frequency S&P 500 and VIX data, we identify price‐volatility cojumps at the intraday granularity and construct upside, downside, and asymmetric measures.
Kefu Liao
wiley   +1 more source

Lie Symmetry Analysis of a First-Order Feedback Model of Option Pricing

Advances in Mathematical Physics, 2015
A first-order feedback model of option pricing consisting of a coupled system of two PDEs, a nonliner generalised Black-Scholes equation and the classical Black-Scholes equation, is studied using Lie symmetry analysis.
Winter Sinkala, Tembinkosi F. Nkalashe
doaj   +1 more source

Gambling and Substance Use: Early Evidence From Sports Betting Laws

Health Economics, EarlyView.
ABSTRACT Previous research documents a strong association between gambling and substance use, suggesting that these seemingly distinct behaviors may share similar environmental, neurobiological, and genetic causes. However, there is a dearth of credible empirical evidence on whether gambling has a causal impact on substance use or vice versa.
Kabir Dasgupta, Keshar Ghimire
wiley   +1 more source

Qualitative financial modelling in fractal dimensions

Financial Innovation
The Black–Scholes equation is one of the most important partial differential equations governing the value of financial derivatives in financial markets. The Black–Scholes model for pricing stock options has been applied to various payoff structures, and
Rami Ahmad El-Nabulsi, Waranont Anukool
doaj   +1 more source

ANALISIS PERBANDINGAN KEAKURATAN HARGA CALL OPTION DENGAN MENGGUNAKAN METODE MONTE CARLO SIMULATION DAN METODE BLACK SCHOLES PADA INDEKS HARGA SAHAM GABUNGAN (IHSG)

Jurnal Manajemen Indonesia, 2017
Opsi adalah salah satu instrument derivative. Option merupakan investasi yang cukup menarik untuk dilakukan apabila volatilitasnya tinggi. Risiko dapat digambarkan dengan volatilitas.
Tieka Trikartika Gustyana, Andrieta Shintia Dewi   +1 more
doaj   +1 more source

Pricing formula for exchange option in fractional black-scholes model with jumps [PDF]

Journal of Hyperstructures, 2014
In this paper pricing formula for exchange option in a fractional Black-Scholes model with jumps is derived. We found out some errors in proof of pricing formula for European call option [7]. At first we revise these errors and then extend this result to
Kyong-Hui Kim, Myong-Guk Sin, Un-Hua Chong   +2 more
doaj   +1 more source