Results 91 to 100 of about 59,952 (264)
Black-Scholes and Extended Black-Scholes Models: A Comparative Statistical Analysis [PDF]
, 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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Convergence Numerically of Trinomial Modelin European Option Pricing
International Research Journal of Business Studies, 2014 A European option is a financial contract which gives its holder a right (but not an obligation) to buy or sell an underlying asset from writer at the time of expiry for a pre-determined price.
Entit Puspita +2 more
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Parametric Pricing of Higher Order Moments in S&P500 Options. [PDF]
A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as well as time-varying volatility are priced.
G.C. Lim, G.M. Martin, V.L. Martin
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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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Asymptotic analysis for stochastic volatility: Edgeworth expansion
, 2010 The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions.
Fukasawa, Masaaki
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A Linear Algorithm for Black Scholes Economic Model [PDF]
The pricing of options is a very important problem encountered in financial domain. The famous Black-Scholes model provides explicit closed form solution for the values of certain (European style) call and put options.
Dumitru FANACHE, Ion SMEUREANU
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Analysis of the sensitivity to discrete dividends : A new approach for pricing vanillas [PDF]
The incorporation of a dividend yield in the classical option pricing model of Black- Scholes results in a minor modification of the Black-Scholes formula, since the lognormal dynamic of the underlying asset is preserved. However, market makers prefer to
Arnaud Gocsei, Fouad Sahel
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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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Parameter risk in the Black and Scholes model [PDF]
We study parameter or estimation risk in the hedging of options. We suppose that the world is such that the price of an asset follows a stochastic differential equation. The only unknown is the (future) volatility of the asset.
Henrard Marc
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Penentuan Harga Dan Batas Eksekusi Opsi Tipe Amerika Model Black-Scholes Menggunakan Finite Element Methods (FEM) [PDF]
, 2012 Opsi dapat digunakan untuk memperoleh keuntungan dan membatasi jumlah kerugian akibat perubahan harga saham yang acak. Opsi tipe Amerika merupakan opsi yang paling banyak diperdagangkan di bursa opsi.
Ade Latif, S.Si. +2 more
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