Results 151 to 160 of about 1,678 (198)
Some of the next articles are maybe not open access.
Pricing Models Beyond Black-Scholes
2013In the previous chapters we presented several pricing and hedging problems both in a discrete- and in a continuous-time setting. The basic model assumed in the first case was the binomial model, while for the continuous-time case the Black-Scholes model was assumed to be the framework, and in this last case the dynamics of the risky assets was ...
Emanuela Rosazza Gianin, Carlo Sgarra
openaire +1 more source
Numerical solution of generalized Black–Scholes model
Applied Mathematics and Computation, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
S. Chandra Sekhara Rao, Manisha
openaire +1 more source
1999
Abstract This chapter investigates the Black-Scholes model in detail. What we call the Black-Scholes model is not the formula for the value of a standard call option, but rather the economy consisting of a money market account with a constant interest rate and a risky security which does not pay dividends and whose price follows a ...
openaire +1 more source
Abstract This chapter investigates the Black-Scholes model in detail. What we call the Black-Scholes model is not the formula for the value of a standard call option, but rather the economy consisting of a money market account with a constant interest rate and a risky security which does not pay dividends and whose price follows a ...
openaire +1 more source
2010
Schon in den Abschnitten 3.1 und 3.2 haben wir die Bewertung von Derivaten mittels der Methode von Cox-Ross-Rubinstein in einem zeitstetigen Modell betrachtet. In 2.5 sahen wir, dass eine Darstellung gerade fur die Bewertung von Zinsprodukten im zeitdiskreten Modell sehr muhsam war.
Georg Schlüchtermann, Stefan Pilz
openaire +1 more source
Schon in den Abschnitten 3.1 und 3.2 haben wir die Bewertung von Derivaten mittels der Methode von Cox-Ross-Rubinstein in einem zeitstetigen Modell betrachtet. In 2.5 sahen wir, dass eine Darstellung gerade fur die Bewertung von Zinsprodukten im zeitdiskreten Modell sehr muhsam war.
Georg Schlüchtermann, Stefan Pilz
openaire +1 more source
A Black–Scholes user's guide to the Bachelier model
Journal of Futures Markets, 2022Jaehyuk Choi +2 more
exaly
2016
In diesem Kapitel diskutieren wir beispielhaft das Black-Scholes-Modell, welches den einfachsten Spezialfall eines AFBST darstellt. In einem Black-Scholes-Modell gibt es nur zwei Finanzguter, namlich eine risikofreie Anlage, der sogenannte Bond, und eine Aktie.
openaire +1 more source
In diesem Kapitel diskutieren wir beispielhaft das Black-Scholes-Modell, welches den einfachsten Spezialfall eines AFBST darstellt. In einem Black-Scholes-Modell gibt es nur zwei Finanzguter, namlich eine risikofreie Anlage, der sogenannte Bond, und eine Aktie.
openaire +1 more source
The Black–Scholes–Merton Model
2018This chapter presents the seminal Black–Scholes–Merton (BSM) model for pricing options. Since this chapter is a special case of the material contained in Sect. 2.7 in the fundamental theorems Chap. 2, the presentation will be brief.
openaire +1 more source