Results 171 to 180 of about 58,494 (220)
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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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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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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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Erweiterungen des Black-Scholes-Modells
2018Nicht nur in der Theorie, wo Verallgemeinerung ein naturlicher Beweggrund ist, sondern auch in der Praxis wird das Black-Scholes-Modell in seiner einfachen Form schon langer als nicht mehr zeitgemas und zu stark vereinfachend angesehen, um Aktienpreisentwicklungen hinreichend realistisch zu modellieren.
Sascha Desmettre, Ralf Korn
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Black–Scholes – Diffusion Models
2017To better understand the Black–Scholes world and to be able to handle more complex instruments, we will now continue with diffusion processes and some theorems. We will in this chapter explain the concept of changing measure and relative pricing. By changing measure we can value any securities relative to a given security.
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Antibody–drug conjugates: Smart chemotherapy delivery across tumor histologies
Ca-A Cancer Journal for Clinicians, 2022Paolo Tarantino +2 more
exaly
An overview of real‐world data sources for oncology and considerations for research
Ca-A Cancer Journal for Clinicians, 2022Lynne Penberthy +2 more
exaly
Black-Scholes Options Pricing Model
Finance a uver - Czech Journal of Economics and Finance, 2000This paper deals with the most widespread model of options pricing, the Black-Scholes model. The model is derived in the usual way, by means of Ito?s lemma. The Black-Scholes partial differential equation is obtained under the assumption of geometric Brownian motion of the underlying stock.
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