Results 71 to 80 of about 1,400,767 (236)
Análisis y aplicaciones del modelo Black - Scholes
, 2021 Fischer Black y Myron Scholes, profesores de finanzas del MIT, emplearon el cálculo estocástico, (el cual define las tasas de cambio de las funciones en las que uno o más términos son aleatorios) como herramienta en sus investigaciones para establecer un
Rico Linares, Glenn Nicolás
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, 2021 Black-Scholes is a pricing model applied as the reference in the derivation of fair price—or the theoretical value for a call or a put option. A call is defined as the decision to buy actual stock at a set price, defined as the strike price; and by a ...
Molintas, Dominique Trual
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Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
High order compact finite difference schemes for a nonlinear Black-Scholes equation [PDF]
A nonlinear Black-Scholes equation which models transaction costs arising in the hedging of portfolios is discretized semi-implicitly using high order compact finite difference schemes. In particular, the compact schemes of Rigal are generalized.
Michel Fournié +2 more
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Persamaan Black-Scholes-Barenblatt untuk opsi dengan volatilitas dan suku bunga tak pasti [PDF]
, 2006 Opsi merupakan salah satu jenis dari instrumen keuangan yang nilainya bergantung pada nilai aset lain yang mendasari. Opsi memberikan hak untuk membeli (opsi call ) atau menjual (opsi put) aset yang mendasarinya pada waktu tertentu (waktu jatuh tempo ...
Asmara, Merdina Yesi Nusa
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Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
"The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry" [PDF]
This paper is written as a tribute to Professors Robert Merton and Myron Scholes, winners of the 1997 Nobel Prize in economics, as well as to their collaborator, the late Professor Fischer Black.
Terry Marsh, Takao Kobayashi
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Black-Scholes-optiohinnoittelumalli [PDF]
, 2012 Optiot ovat yhä merkittävämpi osa rahoitusmarkkinoita, mutta niiden hinnoittelu nojaa edelleen pitkälti Black-Scholes-optiohinnoittelumalliin, joka esitettiin jo vuonna 1973.
KUITTINEN, JONNE
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Black-Scholes -malli eurooppalaisten optioiden hinnoittelussa [PDF]
, 2020 Black-Scholes -malli on eurooppalaisten optioiden hinnoittelussa käytetty malli. Se on kehitelty jo 1970 -luvulla, mutta on edelleen yksi optioiden hinnoittelussa yleisimmin käytetyistä malleista.
Lempinen, Antti
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A Black–Scholes inequality: applications and generalisations [PDF]
Finance and Stochastics, 2019 Abstract The space of call price curves has a natural noncommutative semigroup structure with an involution. A basic example is the Black–Scholes call price surface, from which an interesting inequality for Black–Scholes implied volatility is derived. The binary operation is compatible with the convex order, and therefore a one-parameter sub-semigroup ...
openaire +2 more sources