Results 61 to 70 of about 59,952 (264)

About the valuation of American option under Black-Scholes model : a numerical study

Moroccan Journal of Pure and Applied Analysis, 2023
In the history of option pricing, Black-Scholes model is one of the most significant models. In this paper, we present a new numerical strategy for valuing American option pricing problems governed by Black-Scholes model (BSM). Numerical computations are
Malek R.
doaj   +1 more source

Perpetual Futures Pricing

Mathematical Finance, EarlyView.
ABSTRACT Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no‐arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and ...
Damien Ackerer, Julien Hugonnier, Urban Jermann   +2 more
wiley   +1 more source

An interval version of Black–Scholes European option pricing model and its numerical solution

Results in Applied Mathematics
The Black–Scholes model, a powerful tool for valuation of equity options specially European equity options, is based on assumptions that are violated in some situations due to market realities.
S. Zangoei Zadeh, M. Azizian, M. Sarvari
doaj   +1 more source

Robust option replication for a Black-Scholes model extended with nondeterministic trends [PDF]

, 2012
Statistical analysis on various stocks reveals long range dependence behavior of the stock prices that is not consistent with the classical Black and Scholes model.
Kloeden, Peter E., Schoenmakers, John G. M.   +1 more
core  

Moving In and Out of Reading: Teens Talking About Books, Digital Games, Social Media and Fanfiction

Journal of Adolescent &Adult Literacy, Volume 69, Issue 5, March/April 2026.
ABSTRACT This article examines teens' recreational reading activities as they move between books and digital media. It uses the model of connected reading to understand connections between teen reading practices and digital pastimes. Using focus group data, we draw on participants' experiences with books, fan texts, video games, and social media and ...
Amy Schoonens, Michael Dezuanni
wiley   +1 more source

Effects of market sentiment in index option pricing: a study of CNX NIFTY index option [PDF]

This paper provides evidence of the role of sentiments in pricing Indian CNX Nifty index call Option during the period from April 2002 to December 2008. It also shows that Black-Scholes option pricing model using the implied volatility of previous day is
Malipeddi, Koteswararao, Nagarajan, Thirukumaran   +1 more
core   +1 more source

Implied volatility of basket options at extreme strikes

, 2014
In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality.
A d’Aspremont, A Gulisashvili, A Gulisashvili, A Gulisashvili, A Gulisashvili, A Lewis, A Medvedev, B Jourdain, E Benhamou, E Eberlein, E Gobet, E Hashorva, E Luciano, H Berestycki, J Figueroa-López, J Schoenmakers, JMP Albin, L Andersen, M Forde, M Forde, MR Tehranchi, O Barndorff-Nielsen, P Tankov, R Cont, R Lee, R Nelsen, S Asmussen, S Benaim, S Benaim, U Cherubini   +29 more
core   +1 more source

Multithread Approximation: An OpenMP Constructor

Concurrency and Computation: Practice and Experience, Volume 38, Issue 4, February 2026.
ABSTRACT This study introduces an OpenMP construct designed to simplify and unify the integration of approximate computing techniques into shared‐memory parallel programs. Approximate Computing leverages the inherent error tolerance of many applications to trade computational accuracy for gains in performance and energy efficiency.
João Briganti de Oliveira, Rogério Aparecido Gonçalves, João Fabrício Filho   +2 more
wiley   +1 more source

Fractional Black-Scholes Model and Technical Analysis of Stock Price

Journal of Applied Mathematics, 2013
In the stock market, some popular technical analysis indicators (e.g., Bollinger bands, RSI, ROC, etc.) are widely used to forecast the direction of prices.
Song Xu, Yujiao Yang
doaj   +1 more source

EMPIRICAL STUDY ON THE PERFORMANCES OF BLACK-SCHOLES MODEL FOR EVALUATING EUROPEAN OPTIONS [PDF]

In this study we aim at analyzing the way the model Black-Scholes works in practice. The data used for analysis refer to European-type call options having as supportassets the CAC-40 money-market index. Our approach will be structured in two parts.
Armeanu, Dan, Vasile, Emilia
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