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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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The Binomial Black–Scholes model and the Greeks [PDF]
, 2001 San‐Lin Chung, Mark B. Shackleton
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„BLACK-SCHOLES MODEL USED TO EVALUATE STOCKS OPTIONS” [PDF]
Partial differential equation, parabolic Black-Scholes type, is used in evaluating equity options, that paying constant and continue dividends or in evaluate options in which interest rate, volatility and dividend are dependent on time.stocks, options ...
Turcan Radu Olimpiu Calin
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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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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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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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Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps [PDF]
, 2023 Alberto Bueno-Guerrero, Steven P. Clark
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, 2007 9 pages dont 1 page de bibliographieEXACT SOLUTION OF THE INVERSE PROBLEM OF OPTION PRICING IN THE BLACK-SCHOLES MODEL The main result of this study concerns the expression of the volatility of an option as a function of the other parameters intervening ...
Jacquinot, Philippe, Sukhomlin, Nikolay
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