Results 1 to 10 of about 58,521 (147)
Relativistic Black-Scholes Model [PDF]
SSRN Electronic Journal, 2013 Black-Scholes equation, after a certain coordinate transformation, is equivalent to the heat equation. On the other hand the relativistic extension of the latter, the telegraphers equation, can be derived from the Euclidean version of the Dirac equation.
Trzetrzelewski, Maciej
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The Progress of Black-Scholes Model and Black-Scholes-Merton Model
BCP Business & Management, 2023 Black-Scholes (BS) model was first proposed in 1973, which has been modified by Robert Merton as the Black-Scholes-Merton (BSM) model subsequently. Contemporarily, these two models have been widely used and praised by financial scholars as well as employees.
Lujian Wang, Minqing Zhang, Zhao Liu
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The Modified Black-Scholes Model via Constant Elasticity of Variance for Stock Options Valuation [PDF]
, 2016 In this paper, the classical Black-Scholes option pricing model is visited. We present a modified version of the Black-Scholes model via the application of the constant elasticity of variance model (CEVM); in this case, the volatility of the stock ...
Edeki, S.O. +2 more
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Hedging in fractional Black-Scholes model with transaction costs [PDF]
, 2017 We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the recently discovered explicit ...
Shokrollahi, Foad, Sottinen, Tommi
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A Non-Gaussian Option Pricing Model with Skew [PDF]
, 2004 Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L.
Borland, L., Bouchaud, J. P.
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A tempered subdiffusive Black–Scholes model
Fractional Calculus and Applied AnalysisarXiv admin note: substantial text overlap with arXiv:1907 ...
Grzegorz Krzyżanowski, Marcin Magdziarz
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The Quantum Black-Scholes Equation [PDF]
, 2006 Motivated by the work of Segal and Segal on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus.
Accardi, Luigi, Boukas, Andreas
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The Peculiar Logic of the Black-Scholes Model [PDF]
SSRN Electronic Journal, 2017 AbstractThe Black-Scholes(-Merton) model of options pricing establishes a theoretical relationship between the “fair” price of an option and other parameters characterizing the option and prevailing market conditions. Here I discuss a common application of the model with the following striking feature: the (expected) output of analysis apparently ...
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Black–Scholes model under subordination [PDF]
Physica A: Statistical Mechanics and its Applications, 2003 In this paper we consider a new mathematical extension of the Black-Scholes model in which the stochastic time and stock share price evolution is described by two independent random processes. The parent process is Brownian, and the directing process is inverse to the totally skewed, strictly α-stable process.
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Optimal hedging of Derivatives with transaction costs
, 2005 We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction).
Avellaneda M. +4 more
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