Results 21 to 30 of about 525 (141)

PENGARUH PEMBAGIAN DIVIDEN MELALUI MODEL BLACK-SCHOLES

Jurnal Lebesgue, 2021
Stock trading has a risk that can be said to be quite large due to fluctuations in stock prices. In stock trading, one alternative to reduce the amount of risk is options. The focus of this research is on European options which are financial contracts by
Diana Purwandari
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The Use of Statistical Tests to Calibrate the Black-Scholes Asset Dynamics Model Applied to Pricing Options with Uncertain Volatility

Journal of Probability and Statistics, 2012
A new method for calibrating the Black-Scholes asset price dynamics model is proposed. The data used to test the calibration problem included observations of asset prices over a finite set of (known) equispaced discrete time values.
Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli   +3 more
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Arbitrage in the Hermite Binomial Market

Fractal and Fractional, 2022
Much attention has been paid to the arbitrage opportunities in the Black–Scholes model when it is driven by fractional Brownian motions. It is natural to ask whether there exists arbitrage or not when we focus on other fractional processes, such as the ...
Xuwen Cheng, Yiran Zheng, Xili Zhang
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TESTING OF THE BLACK SCHOLES AND GARCH MODELS IN LQ45 USING LONG STRADDLE STRATEGY IN 2009-2018

Jurnal Bisnis dan Manajemen, 2021
The purpose of this study is to examine the implementation of option contracts using Black Scholes and GARCH on the LQ45 index using the long straddle strategy.
Riko Hendrawan, Anggadi Sasmito
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Empirical examination of the Black–Scholes model: evidence from the United States stock market

Frontiers in Applied Mathematics and Statistics
Option pricing is crucial in enabling investors to hedge against risks. The Black–Scholes option pricing model is widely used for this purpose. This paper investigates whether the Black–Scholes model is a good indicator of option pricing in the United ...
Monsurat Foluke Salami
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Pricing of Arithmetic Average Asian Option by Combining Variance Reduction and Quasi-Monte Carlo Method

Mathematics, 2023
Financial derivatives have developed rapidly over the past few decades due to their risk-averse nature, with options being the preferred financial derivatives due to their flexible contractual mechanisms, particularly Asian options.
Lingling Xu, Hongjie Zhang, Fu Lee Wang
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A tempered subdiffusive Black–Scholes model

Fractional Calculus and Applied Analysis
arXiv admin note: substantial text overlap with arXiv:1907 ...
Grzegorz Krzyżanowski, Marcin Magdziarz
openaire   +3 more sources

Quantum effects in an expanded Black–Scholes model

The European Physical Journal B, 2022
Abstract The limitations of the classical Black–Scholes model are examined by comparing calculated and actual historical prices of European call options on stocks from several sectors of the S &P 500. Persistent differences between the two prices point to an expanded model proposed by Segal and Segal (PNAS 95:4072 ...
Anantya Bhatnagar, Dimitri D. Vvedensky
openaire   +3 more sources

Lattice Boltzmann Method for the Generalized Black-Scholes Equation

Advances in Mathematical Physics, 2023
In this paper, an efficient lattice Boltzmann model for the generalized Black-Scholes equation governing option pricing is proposed. The Black-Scholes equation is firstly equivalently transformed into an initial value problem for a partial differential ...
Fangfang Wu, Duoduo Xu, Ming Tian, Yingying Wang   +3 more
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PENENTUAN KONTRAK OPSI TIPE EROPA MENGGUNAKAN MODEL SIMULASI VARIANCE GAMMA (VG)

E-Jurnal Matematika, 2023
Options are used as a hedge against stock price uncertainty brought on by unstable stock prices fluctuation. The price of an option contract can be determined using a variety of approaches, one of which is the Variance Gamma. The purpose of this study is
NI KADEK LANI PITRAYANI, KOMANG DHARMAWAN, I NYOMAN WIDANA   +2 more
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