Results 41 to 50 of about 1,920,083 (235)
An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market [PDF]
, 2005 Includes bibliographical references.The assumption of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset.
Chen, Hung-Hsiang
core +1 more source
PENENTUAN HARGA OPSI DAN NILAI HEDGE MENGGUNAKAN PERSAMAAN NON-LINEAR BLACK-SCHOLES
E-Jurnal Matematika, 2016 Option are contracts that give the right to sell and buy the asset at a price and a certain period of time. In addition investors use option as a means of hedge against asset owned.
PUTU AYU DENI +2 more
doaj +1 more source
Empirical examination of the Black–Scholes model: evidence from the United States stock market
Frontiers in Applied Mathematics and StatisticsOption 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
Accounting for Biases in Black-Scholes
, 2004 Prices of currency options commonly differ from the Black-Scholes formula along two dimensions: implied volatilities vary by strike price (volatility smiles) and maturity (implied volatility of at-the-money options increases, on average, with maturity).
David K. Backus +2 more
openaire +3 more sources
Journal of Probability and Statistics, 2012 A new method for calibrating the Black-Scholes asset price dynamics model is proposed. The data used to test the calibration problem included observations of asset prices over a finite set of (known) equispaced discrete time values.
Lorella Fatone +3 more
doaj +1 more source
CEO Compensation and the ESG Activities of Compensation Peers
Business Strategy and the Environment, EarlyView.ABSTRACT This study investigates the relationship between executive compensation at focal firms and the environmental, social, and governance (ESG) performance of compensation peer (CP) firms. Despite the growing integration of ESG metrics into executive compensation design, and the mandatory disclosure of CP groups, no prior research has examined ...
Jamshed Iqbal +2 more
wiley +1 more source
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
The Role of Variance Risk Premium in Derivative Pricing: Modeling, Estimation and Impact
Journal of Futures Markets, EarlyView.ABSTRACT This paper estimates a model where variance risk premiums (VRP) is not fully explained by equity risk premiums (ERP). This separation can be detected thanks to a new breed of GARCH models with enough innovations to disconnect returns from variances. This type of risk‐neutralization is compatible with continuous‐time settings.
Marcos Escobar‐Anel +2 more
wiley +1 more source
Qualitative financial modelling in fractal dimensions
Financial InnovationThe 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
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 +2 more
doaj +1 more source