Results 91 to 100 of about 58,958 (215)
Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market [PDF]
This paper investigates the pricing bias in the Swedish OMX-Index Option market and how a stochastic volatility affects European call option prices. The market is purely European and without dividends for the period studied. A CIR square-root process for
Byström , Hans
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Option pricing: The empirical tests of the black-scholes pricing formula and the feed-forward network [PDF]
, 2009 In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till ...
Vlasáková Baruníková, Michaela
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Implied volatility of basket options at extreme strikes
, 2014 In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality.
A d’Aspremont +29 more
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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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CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL [PDF]
Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mekhanika, 2018 Summary: The paper deals with one of fundamental problems of financial mathematics, namely, allocation of resources between financial assets to ensure sufficient payments. When constructing mathematical models of the dynamics of financial indicators, various classes of random processes with discrete and continuous time are used.
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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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Coarse Thinking and Pricing a Financial Option [PDF]
Mullainathan et al [Quarterly Journal of Economics, May 2008] present a formalization of the concept of coarse thinking in the context of a model of persuasion.
Siddiqi, Hammad
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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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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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On CAPM and Black-Scholes, differing risk-return strategies [PDF]
In their path-finding 1973 paper Black and Scholes presented two separate derivations of their famous option pricing partial differential equation (pde).
Gunaratne, Gemunu H. +1 more
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