Results 161 to 170 of about 58,958 (215)
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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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The Black-Scholes Model in QuantLib
Wilmott, 2023Any remaining errors are our fault, not theirs.
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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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2013
In the last chapter we introduced a binomial model, which provided an intuitive way for pricing derivatives and finding replicating portfolios. However, the binomial model often oversimplifies the real world, so that in practice one would aim to choose a model setup that better describes reality.
Hansjoerg Albrecher +3 more
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In the last chapter we introduced a binomial model, which provided an intuitive way for pricing derivatives and finding replicating portfolios. However, the binomial model often oversimplifies the real world, so that in practice one would aim to choose a model setup that better describes reality.
Hansjoerg Albrecher +3 more
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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 ...
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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 ...
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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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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
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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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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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2002
Bisher haben wir im Zusammenhang mit der Derivatebewertung ausschlieslich endliche diskrete Modelle betrachtet. Diese sehen in einem begrenzten Zeithorizont endlich viele Handelszeitpunkte mit jeweils endlich vielen moglichen Aktienkursen vor. Wie schon mehrfach erwahnt, ist dieser Ansatz eigentlich allgemein genug, um die reale Welt hinreichend genau ...
Wilfried Hausmann +2 more
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Bisher haben wir im Zusammenhang mit der Derivatebewertung ausschlieslich endliche diskrete Modelle betrachtet. Diese sehen in einem begrenzten Zeithorizont endlich viele Handelszeitpunkte mit jeweils endlich vielen moglichen Aktienkursen vor. Wie schon mehrfach erwahnt, ist dieser Ansatz eigentlich allgemein genug, um die reale Welt hinreichend genau ...
Wilfried Hausmann +2 more
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