Results 101 to 110 of about 58,494 (220)
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
core
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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Revista Brasileira de Gestão De Negócios, 2004 RESUMOEntre as suposições subjacentes do modelo Black-Scholes-Merton, as maiores polarizações empíricas são causadas por aquelas com uma volatilidade fixa do recurso subjacente.
MARTIN, Diógenes Manoel Leiva
doaj
„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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Aplikasi Algoritma Biseksi dan Newton-Raphson dalam Menaksir Nilai Volatilitas Implied
Jurnal Matematika, 2012 Volatilitas adalah suatu besaran yang mengukuran seberapa jauh suatu harga saham bergerak dalam suatu periode tertentu dapat juga diartikan sebagai persentase simpangan baku dari perubahan harga harian suatu saham.
Komang Dharmawan, I Nyoman Widana
doaj
Dynamic Calibration Based on the Black-Scholes Option Pricing Model by Bayesian Method
IEEE AccessTo improve the shortcomings of the classic Black-Scholes model, mainly on the constant volatility and normal distribution assumptions, this paper investigates the dynamic calibration method, which makes the expected return rate, volatility and interest ...
Norris M. Mulenga, Yu Fu
doaj +1 more source
, 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
core +1 more source
Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model
RisksWe present a unified, market-complete model that integrates both Bachelier and Black–Scholes–Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the ...
W. Brent Lindquist +3 more
doaj +1 more source
Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management [PDF]
Many derivatives prices and their Greeks are closed-form expressions in the Black-Scholes model; when the terminal distribution is a mixed lognormal, prices and Greeks for these derivatives are then a weighted average of these closed-form) expressions ...
Dietmar Leisen
core
Determining the implied volatility in the Dupire equation for vanilla European call options
, 2013 The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining the implied volatility, which is a function of the underlying asset, from a collection of
Bellassoued, Mourad +3 more
core +2 more sources