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Behavioralizing the Black-Scholes Model [PDF]
SSRN Electronic Journal, 2015 In this article, I incorporate the anchoring-and-adjustment heuristic into the Black-Scholes option pricing framework, and show that this is equivalent to replacing the risk-free rate with a higher interest rate. I show that the price from such a behavioralized version of the Black-Scholes model generally lies within the no-arbitrage bounds when there ...
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Penentuan Nilai Opsi Call Eropa Dengan Pembayaran Dividen
Sainsmat, 2016 Fluktuasi harga saham menyebabkan perdagangan saham memiliki resiko. Opsi merupakan alternatif untuk mengurangi resiko dalam perdagangan saham. Opsi Eropa adalah suatu kontrak keuangan yang memberikan hak, bukan kewajiban, kepada holder, untuk membeli ...
Diana Purwandari
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An asymptotic expansion for a Black–Scholes type model
Bulletin des Sciences Mathématiques, 2004 This paper derives the asymptotic expansion of the expected value of the European call option when the volatility of the underlying asset is not constant but, instead, is subject to small perturbations (in the sense of perturbation theory). A link between analyticity of the solution and Borel-summability is also established.
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Black-Scholes and Extended Black-Scholes Models: A Comparative Statistical Analysis
, 2007 Much research has been done on options pricing. Black and Scholes [12] set the benchmark in 1973 with their model for arbitrage-free, risk-neutral options valuation. Arbitrage-free refers to a market environment where prices are such that trading opportunities with no risk do not exist and risk-neutral commodities earn a risk free interest rate.
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THE ANALYTICAL SOLUTIONS OF EUROPEAN OPTIONS ON SHARES PRICING MODELS
Jurnal Akuntansi dan Keuangan, 2004 The Black-Scholes options formula is the breakthrough in valuating options prices. However, the formula is heavily based on several assumptions that are not realistic in practice. The extensions of the assumptions are needed to make options pricing model
Andriansyah Andriansyah
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AxiomsThis paper explores the implications of modifying the canonical Heisenberg commutation relations over two simple systems, such as the free particle and the tunnel effect generated by a step-like potential.
Mauricio Contreras González +2 more
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Spreadsheets in Education, 2019 The derivation of the Black-Scholes option pricing model, if covered in detail, is by far the most complicated among all major models in the finance curriculum.
Clarence C. Y. Kwan
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Revista Brasileira de Gestão De Negócios, 2004 RESUMOEntre as suposições subjacentes do modelo Black-Scholes-Merton, as maiores polarizações empíricas são causadas por aquelas com uma volatilidade fixa do recurso subjacente.
MARTIN, Diógenes Manoel Leiva
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Dynamic Calibration Based on the Black-Scholes Option Pricing Model by Bayesian Method
IEEE AccessTo improve the shortcomings of the classic Black-Scholes model, mainly on the constant volatility and normal distribution assumptions, this paper investigates the dynamic calibration method, which makes the expected return rate, volatility and interest ...
Norris M. Mulenga, Yu Fu
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Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model
RisksWe present a unified, market-complete model that integrates both Bachelier and Black–Scholes–Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the ...
W. Brent Lindquist +3 more
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