Results 81 to 90 of about 744 (186)
Abstract and Applied Analysis, 2013 An adaptive wavelet precise integration method (WPIM) based on the variational iteration method (VIM) for Black-Scholes model is proposed. Black-Scholes model is a very useful tool on pricing options.
Huahong Yan
doaj +1 more source
Mathematical Finance, EarlyView.ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley +1 more source
Evaluation of Options using the Black-Scholes Methodology
Expert Journal of Economics, 2019 This paper discusses how to obtain the Black-Scholes equation to evaluate options and how to obtain explicit solutions for Call and Put. The Black-Scholes equation, which is the basis for determining explicit solutions for Call and Put, is a rather ...
Vasile BRĂTIAN
doaj
The Black–Scholes equation in stochastic volatility models
Journal of Mathematical Analysis and Applications, 2010 The purpose of this paper is to provide the precise connection between the risk-neutral expected value and the pricing PDE with appropriate boundary conditions for stochastic volatility models. This paper extends the one-dimensional results by the authors in [``Boundary conditions for the single-factor term structure equation'', Ann. Appl.
Ekström, Erik, Tysk, Johan
openaire +2 more sources
On the Exact Limiting Distribution of a Volatility Target Index
Mathematical Finance, EarlyView.ABSTRACT Assuming a lognormal distribution for the underlying risky asset, we study the limiting distribution of a volatility target index as the rebalancing time step approaches zero. Two limit theorems (a strong law of large numbers and a central limit theorem) are established, and as an application, the exact limiting distribution is derived.
Xuan Liu, Michel Gauthier
wiley +1 more source
Why Have CEO Pay Levels Become Less Diverse?
The Journal of Finance, Volume 81, Issue 4, Page 1893-1950, August 2026.ABSTRACT This paper documents a new stylized fact: the cross‐sectional variation in CEO pay levels has declined precipitously in recent years. We offer one explanation for this decline, namely, firms are increasingly benchmarking CEO compensation to industry peers closest in size, thereby creating pay clusters.
TORSTEN JOCHEM +2 more
wiley +1 more source
Vulnerable options pricing under uncertain volatility model
Journal of Inequalities and Applications, 2019 In this paper, we consider the pricing problem of options with counterparty default risks. We study the asymptotic behavior of vulnerable option prices in the worst case scenario under an uncertain volatility model which contains both corporate assets ...
Qing Zhou, Xiaonan Li
doaj +1 more source
The Journal of Finance, Volume 81, Issue 4, Page 2005-2062, August 2026.ABSTRACT We propose a measure of the valuation gap between debt and equity—debt‐equity spread (DES)—based on the difference between actual and equity‐implied credit spreads. DES predicts cross‐sectional stock and bond returns in opposite directions.
HUI CHEN, ZHIYAO CHEN, JUN LI
wiley +1 more source
Time Integrals Under the Black–Scholes–Merton and Margrabe Economies
Journal of Futures Markets, Volume 46, Issue 7, Page 1256-1274, July 2026.ABSTRACT The problem of integrating the Black, Scholes, and Merton (BSM) formula with respect to the time variable is paramount for an economist. Inspired by the real options literature, Shackleton and Wojakowski offer analytic formulae for valuing finite maturity (profit) caps and floors that are contingent on continuous flows following a lognormal ...
José Carlos Dias +3 more
wiley +1 more source
The Black-Scholes Equation and Certain Quantum Hamiltonians
, 2010 10 pages, no figures, some important changes were maked. An author was added.
Romero, Juan M. +3 more
openaire +3 more sources