Calibration of European option pricing model using a hybrid structure based on the optimized artificial neural network and Black-Scholes model [PDF]
Mathematics and Modeling in FinanceThis study suggests a novel approach for calibrating European option pricing model by a hybrid model based on the optimized artificial neural network and Black-Scholes model.
Farshid Mehrdoust, Maryam Noorani
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Option Pricing: The empirical tests of the Black-Scholes pricing formula and the feed-forward networks [PDF]
In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till ...
Michaela Vlasáková Baruníková
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Option pricing: The empirical tests of the black-scholes pricing formula and the feed-forward network [PDF]
, 2009 In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till ...
Vlasáková Baruníková, Michaela
core
Urban and Power Plant NOx Emissions in Sub‐Saharan Africa Inferred From TROPOMI
Journal of Geophysical Research: Atmospheres, Volume 131, Issue 4, 28 February 2026.Abstract Nitrogen oxides (NOx) emissions are increasing rapidly in Sub‐Saharan Africa, affecting local air quality. Outside South Africa, most hotspots are relatively small, posing a challenge for traditional top‐down inversions. We tailor an existing top‐down wind rotation and Gaussian plume fit inversion to suit the relatively small NOx hotspots for ...
Eloise A. Marais +6 more
wiley +1 more source
On CAPM and Black-Scholes, differing risk-return strategies [PDF]
In their path-finding 1973 paper Black and Scholes presented two separate derivations of their famous option pricing partial differential equation (pde).
Gunaratne, Gemunu H. +1 more
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A Linear Algorithm for Black Scholes Economic Model [PDF]
The pricing of options is a very important problem encountered in financial domain. The famous Black-Scholes model provides explicit closed form solution for the values of certain (European style) call and put options.
Dumitru FANACHE, Ion SMEUREANU
core
Penentuan Nilai Opsi Call Eropa Dengan Pembayaran Dividen
Sainsmat, 2016 Fluktuasi harga saham menyebabkan perdagangan saham memiliki resiko. Opsi merupakan alternatif untuk mengurangi resiko dalam perdagangan saham. Opsi Eropa adalah suatu kontrak keuangan yang memberikan hak, bukan kewajiban, kepada holder, untuk membeli ...
Diana Purwandari
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Convergence Numerically of Trinomial Modelin European Option Pricing
International Research Journal of Business Studies, 2014 A European option is a financial contract which gives its holder a right (but not an obligation) to buy or sell an underlying asset from writer at the time of expiry for a pre-determined price.
Entit Puspita +2 more
doaj
Black-Scholes and Extended Black-Scholes Models: A Comparative Statistical Analysis [PDF]
, 2007 Much research has been done on options pricing. Black and Scholes [12] set the benchmark in 1973 with their model for arbitrage-free, risk-neutral options valuation. Arbitrage-free refers to a market environment where prices are such that trading opportunities with no risk do not exist and risk-neutral commodities earn a risk free interest rate.
openaire +2 more sources
Asymptotic analysis for stochastic volatility: Edgeworth expansion
, 2010 The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions.
Fukasawa, Masaaki
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