Results 31 to 40 of about 1,678 (198)

Pricing formula for exchange option in fractional black-scholes model with jumps [PDF]

Journal of Hyperstructures, 2014
In this paper pricing formula for exchange option in a fractional Black-Scholes model with jumps is derived. We found out some errors in proof of pricing formula for European call option [7]. At first we revise these errors and then extend this result to
Kyong-Hui Kim, Myong-Guk Sin, Un-Hua Chong   +2 more
doaj   +1 more source

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
doaj   +1 more source

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
doaj   +1 more source

Analisis metode binomial dipercepat pada perhitungan harga opsi Eropa

Cauchy: Jurnal Matematika Murni dan Aplikasi, 2014
Model umum yang digunakan dalam perhitungan harga opsi Eropa adalah model Black Scholes. Kemudian ditemukan suatu metode baru yang merupakan aproksimasi dari model Black Scholes yaitu metode Binomial. Akan tetapi, perhitungan harga opsi Eropa menggunakan
Istiqomah Istiqomah, Abdul Azis
doaj   +1 more source

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
doaj   +1 more source

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
doaj   +1 more source

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
doaj   +1 more source

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
doaj   +1 more source

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

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
doaj   +1 more source