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The mean field market model revisited. [PDF]
Eur Actuar JHasenbichler M, Müller W, Thonhauser S.
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Soliton wave profiles and dynamical analysis of fractional Ivancevic option pricing model. [PDF]
Sci RepJhangeer A, Faridi WA, Alshehri M.
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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
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2011
In this chapter we present some of the fundamental ideas of arbitrage pricing in continuous time, illustrating Black-Scholes theory from a point of view that is, as far as possible, elementary and close to the original ideas in the papers by Merton [250], Black and Scholes [49].
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In this chapter we present some of the fundamental ideas of arbitrage pricing in continuous time, illustrating Black-Scholes theory from a point of view that is, as far as possible, elementary and close to the original ideas in the papers by Merton [250], Black and Scholes [49].
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2012
The Black–Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing.
Marek Capiński, Ekkehard Kopp
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The Black–Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing.
Marek Capiński, Ekkehard Kopp
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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.
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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.
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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
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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
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1997
The option pricing model developed by Black and Scholes (1973), formalized and extended in the same year by Merton (1973a), enjoys great popularity. It is computationally simple and, like all arbitrage-based pricing models, does not require the knowledge of an investor’s risk preferences.
Marek Musiela, Marek Rutkowski
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The option pricing model developed by Black and Scholes (1973), formalized and extended in the same year by Merton (1973a), enjoys great popularity. It is computationally simple and, like all arbitrage-based pricing models, does not require the knowledge of an investor’s risk preferences.
Marek Musiela, Marek Rutkowski
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1995
Introduction We begin this chapter with a discussion of the concept of arbitrage, a concept which, in certain circumstances, allows us to establish precise relationships between prices and thence to determine them. We then discuss option strategies in general and use arbitrage, together with the model for asset price movements that we discussed in ...
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Introduction We begin this chapter with a discussion of the concept of arbitrage, a concept which, in certain circumstances, allows us to establish precise relationships between prices and thence to determine them. We then discuss option strategies in general and use arbitrage, together with the model for asset price movements that we discussed in ...
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