Results 51 to 60 of about 32,893 (190)
Revisiting the Black-Scholes equation [PDF]
, 1998 In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his continuous-time consumption-portfolio problem, deriving general equilibrium relationships among the securities in the asset ...
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The effect of addback statutes on CEO compensation
Accounting &Finance, Volume 65, Issue 1, Page 793-818, March 2025.Abstract Exploiting the adoption of addback statutes, which occurred at different times, as exogenous shocks to corporate taxable income, we examine the effect of tax policy changes on the compensation of chief executive officers (CEOs). We provide evidence that CEOs of firms headquartered in states affected by addback statutes experienced a decrease ...
Karel Hrazdil +3 more
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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
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Appearances of pseudo-bosons from Black-Scholes equation
, 2016 It is a well known fact that the Black-Scholes equation admits an alternative representation as a Schr\"odinger equation expressed in terms of a non self-adjoint hamiltonian. We show how {\em pseudo-bosons}, linear or not, naturally arise in this context,
Bagarello, Fabio
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Symmetries of the Black-Scholes equation [PDF]
Methods and Applications of Analysis, 2012 We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.
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Cubic Spline Method for a Generalized Black‐Scholes Equation [PDF]
Mathematical Problems in Engineering, 2014 We develop a numerical method based on cubic polynomial spline approximations to solve a a generalized Black‐Scholes equation. We apply the implicit Euler method for the time discretization and a cubic polynomial spline method for the spatial discretization.
Jian Huang, Zhongdi Cen
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Mitigating policy uncertainty: What financial markets reveal about firm‐level lobbying
American Journal of Political Science, EarlyView.Abstract Elections can lead to substantial policy changes and, thus, are a significant source of risk. Firms can respond to such policy uncertainty by lobbying, but it is hard to quantify whether they do so and, if so, how much lobbying benefits them. We construct a new dataset and leverage investors’ expectations of variability in stock returns in the
Kristy Buzard +2 more
wiley +1 more source
MathematicsThis paper discusses finding solutions to the modified Fractional Black–Scholes equation. As is well known, the options theory is beneficial in the stock market.
Agus Sugandha +3 more
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An Alternative Method for Analytical Solutions of Two-Dimensional Black-Scholes-Merton Equation
Journal of Applied Mathematics, 2023 We present a method of deriving analytical solutions for a two-dimensional Black-Scholes-Merton equation. The method consists of three changes of variables in order to reduce the original partial differential equation (PDE) to a normal form and then ...
Jun Yu, Michael J. Tomas
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Options hedging under liquidity costs [PDF]
, 2006 Following the framework of Cetin, Jarrow and Protter (CJP) we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of the hedging strategies in a generalized Black-Scholes economy.
Cetin, Umut +3 more
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