Results 31 to 40 of about 1,920,083 (235)

Bayesian Analysis of the Black-Scholes Option Price [PDF]

, 2004
This paper investigates the statistical properties of the Black-Scholes option price under a Bayesian approach. We incorporate randomness, both in the price process and in volatility, to derive the prior and posterior densities of a European call option.

core   +2 more sources

The practical framework of the Black-Scholes model of pricing a european call option: economical and mathematical interpretation

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
doaj   +1 more source

On a Free Boundary Problem for American Options Under the Generalized Black–Scholes Model

Mathematics, 2020
We consider the problem of pricing American options using the generalized Black–Scholes model. The generalized Black–Scholes model is a modified form of the standard Black–Scholes model with the effect of interest and consumption rates.
Jung-Kyung Lee
doaj   +1 more source

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
doaj   +1 more source

Robust option replication for a Black-Scholes model extended with nondeterministic trends [PDF]

, 2012
Statistical analysis on various stocks reveals long range dependence behavior of the stock prices that is not consistent with the classical Black and Scholes model.
Schoenmakers, John G. M., Kloeden, Peter E.   +1 more
core   +1 more source

Precificação de Opções Européias de Ações com Dividendos e Volatilidade Estocástica

Trends in Computational and Applied Mathematics, 2001
O problema da precificação de opções européias foi resolvido pela fórmula de Black e Scholes (Black, Scholes [1]).
O. Mendèz, S. Stumpf
doaj   +1 more source

The Approximate Analytic Solution of the Time-Fractional Black-Scholes Equation with a European Option Based on the Katugampola Fractional Derivative

Mathematics, 2021
In the finance market, it is well known that the price change of the underlying fractal transmission system can be modeled with the Black-Scholes equation.
Sivaporn Ampun, Panumart Sawangtong
doaj   +1 more source

TESTING OF THE BLACK SCHOLES AND GARCH MODELS IN LQ45 USING LONG STRADDLE STRATEGY IN 2009-2018

Jurnal Bisnis dan Manajemen, 2021
The purpose of this study is to examine the implementation of option contracts using Black Scholes and GARCH on the LQ45 index using the long straddle strategy.
Riko Hendrawan, Anggadi Sasmito
doaj   +1 more source

The modified homotopy perturbation method and its application to the dynamics of price evolution in Caputo-fractional order Black Scholes model

Beni-Suef University Journal of Basic and Applied Sciences, 2023
Background Following a financial loss in trades due to lack of risk management in previous models from market practitioners, Fisher Black and Myron Scholes visited the academic setting and were able to mathematically develop an option pricing equation ...
Adedapo Ismaila Alaje, Morufu Oyedunsi Olayiwola, Kamilu Adewale Adedokun, Joseph Adeleke Adedeji, Asimiyu Olamilekan Oladapo, Yunus Olanrewaju Akeem   +5 more
doaj   +1 more source

Bubbles, convexity and the Black–Scholes equation

The Annals of Applied Probability, 2009
A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure. In such markets, many standard results from option pricing theory do not hold, and in this paper we address some of these issues. In particular, we derive existence and uniqueness results for the Black--
Ekström, Erik, Tysk, Johan
openaire   +4 more sources