Results 91 to 100 of about 58,494 (220)

A closed-form GARCH option pricing model [PDF]

This paper develops a closed-form option pricing formula for a spot asset whose variance follows a GARCH process. The model allows for correlation between returns of the spot asset and variance and also admits multiple lags in the dynamics of the GARCH ...
Saikat Nandi, Steven L. Heston
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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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A tempered subdiffusive Black–Scholes model

Fractional Calculus and Applied Analysis
arXiv admin note: substantial text overlap with arXiv:1907 ...
Grzegorz Krzyżanowski, Marcin Magdziarz
openaire   +3 more sources

The Pricing of Derivatives on Assets with Quadratic Volatility [PDF]

The basic model of financial economics is the Samuelson model of geometric Brownian motion because of the celebrated Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the model garantees
Christian Zühlsdorff
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Solving the Black-Scholes Partial Differential Equation via the Solution Method for a One-Dimensional Heat Equation: A Pedagogic Approach with a Spreadsheet-Based Illustration

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
doaj  

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., Nikenasih Binatari, M.Si., Rosita Kusumawati, M.Sc   +2 more
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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
doaj  

Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model [PDF]

The interest of professional investors in financial derivatives on the Croatian market is steadily increasing and trading is expected to start after the establishment of the legal framework.
Petra Posedel
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Modified Heisenberg Commutation Relations, Free Schrödinger Equations, Tunnel Effect and Its Connections with the Black–Scholes Equation

Axioms
This 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, Roberto Ortiz Herrera, José González Suárez   +2 more
doaj   +1 more source

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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