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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
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On the Generation of Infinitely Many Conservation Laws of the Black-Scholes Equation
Computation, 2020 Construction of conservation laws of differential equations is an essential part of the mathematical study of differential equations. In this paper we derive, using two approaches, general formulas for finding conservation laws of the Black-Scholes ...
Winter Sinkala
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Numerical Approximation of Black-Scholes Equation
Annals of the Alexandru Ioan Cuza University - Mathematics, 2010 Summary: This study deals with the well-known Black-Scholes model in a complete financial market. We obtain numerical methods for European and exotic options, for one-asset and for two-assets models.
Dura, Gina, Moşneagu, Ana-Maria
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Understanding How Dividends Affect Option Prices [PDF]
, 2016 In this paper, we propose a pricing model for stock option valuation. The model is derived from the classical Black-Scholes option pricing equation via the application of the constant elasticity of variance (CEV) model with dividend yield.
Edeki, S.O. +2 more
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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
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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
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On nonlinear Black-Scholes equations
Nonlinear Analysis and Differential Equations, 2013 This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versions arising in option pricing theory.
AGLIARDI, ROSSELLA +2 more
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The Sustainable Black-Scholes Equations [PDF]
, 2017 In incomplete markets, a basic Black-Scholes perspective has to be complemented by the valuation of market imperfections. Otherwise this results in Black-Scholes Ponzi schemes, such as the ones at the core of the last global financial crisis, where always more derivatives need to be issued for remunerating the capital attracted by the already opened ...
Yannick Armenti +2 more
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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
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Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations [PDF]
, 2017 We analyze and calculate the early exercise boundary for a class of stationary generalized Black-Scholes equations in which the volatility function depends on the second derivative of the option price itself. A motivation for studying the nonlinear Black
Grossinho, Maria do Rosario +2 more
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