Results 11 to 20 of about 59,952 (264)
Studying a Tumor Growth Partial Differential Equation via the Black–Scholes Equation
Computation, 2020 Two equations are considered in this paper—the Black–Scholes equation and an equation that models the spatial dynamics of a brain tumor under some treatment regime. We shall call the latter equation the tumor equation.
Winter Sinkala, Tembinkosi F. Nkalashe
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Risks, 2023 This research article provides criticism and arguments why the canonical framework for derivatives pricing is incomplete and why the delta-hedging approach is not appropriate.
Jussi Lindgren
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Acta Economica, 2014 Starting in 1973 with publishing the paper The pricing of Options and Corporate Liabilities, Fischer Black and Myron Scholes made a revolution in the world of fnances.
Драган Јањић
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A modification term for Black-Scholes model based on discrepancy calibrated with real market data
Data Science in Finance and Economics, 2021 The Black-Scholes option pricing model (B-S model) generally requires the assumption that the volatility of the underlying asset be a piecewise constant.
Xiaozheng Lin +2 more
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The Modified Black-Scholes Model via Constant Elasticity of Variance for Stock Options Valuation [PDF]
, 2016 In this paper, the classical Black-Scholes option pricing model is visited. We present a modified version of the Black-Scholes model via the application of the constant elasticity of variance model (CEVM); in this case, the volatility of the stock ...
Edeki, S.O. +2 more
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Black–Scholes model under subordination [PDF]
Physica A: Statistical Mechanics and its Applications, 2003 In this paper we consider a new mathematical extension of the Black-Scholes model in which the stochastic time and stock share price evolution is described by two independent random processes. The parent process is Brownian, and the directing process is inverse to the totally skewed, strictly -stable process.
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A Non-Gaussian Option Pricing Model with Skew [PDF]
, 2004 Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L.
Borland, L., Bouchaud, J. P.
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Lie Symmetry Analysis of a First-Order Feedback Model of Option Pricing
Advances in Mathematical Physics, 2015 A first-order feedback model of option pricing consisting of a coupled system of two PDEs, a nonliner generalised Black-Scholes equation and the classical Black-Scholes equation, is studied using Lie symmetry analysis.
Winter Sinkala, Tembinkosi F. Nkalashe
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Capturing the volatility smile: parametric volatility models versus stochastic volatility models [PDF]
Public and Municipal Finance, 2016 Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility.
Belen Blanco
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Black-Scholes Flexibility of European Companies in the Digital Age [PDF]
SHS Web of Conferences, 2021 Research background: “How much is flexibility worth?” This question is the title of one of almost countless contributions. In these, procedures are discussed with which existing room for manoeuvres in corporate management can be quantitatively mapped ...
Uzik Martin, Runge Christopher
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