Results 81 to 90 of about 525 (141)
AxiomsThis paper explores the implications of modifying the canonical Heisenberg commutation relations over two simple systems, such as the free particle and the tunnel effect generated by a step-like potential.
Mauricio Contreras González +2 more
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Spreadsheets in Education, 2019 The derivation of the Black-Scholes option pricing model, if covered in detail, is by far the most complicated among all major models in the finance curriculum.
Clarence C. Y. Kwan
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Dynamic Calibration Based on the Black-Scholes Option Pricing Model by Bayesian Method
IEEE AccessTo improve the shortcomings of the classic Black-Scholes model, mainly on the constant volatility and normal distribution assumptions, this paper investigates the dynamic calibration method, which makes the expected return rate, volatility and interest ...
Norris M. Mulenga, Yu Fu
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Revista Brasileira de Gestão De Negócios, 2004 RESUMOEntre as suposições subjacentes do modelo Black-Scholes-Merton, as maiores polarizações empíricas são causadas por aquelas com uma volatilidade fixa do recurso subjacente.
MARTIN, Diógenes Manoel Leiva
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Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model
RisksWe present a unified, market-complete model that integrates both Bachelier and Black–Scholes–Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the ...
W. Brent Lindquist +3 more
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Pricing callable bonds and optimal callable time under the Fractional Black-Scholes market
Electronic Journal of Differential EquationsThis article concerns the pricing of callable bonds and the determination of optimal call time under the fractional Black-Scholes model. By employing a discrete approximation of the continuous asset price process, we efficiently estimate the continuation
Yuecai Han, Yinong Wu, Xudong Zheng
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1997
The option pricing model developed by Black and Scholes (1973), formalized and extended in the same year by Merton (1973a), enjoys great popularity. It is computationally simple and, like all arbitrage-based pricing models, does not require the knowledge of an investor’s risk preferences.
Marek Musiela, Marek Rutkowski
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The option pricing model developed by Black and Scholes (1973), formalized and extended in the same year by Merton (1973a), enjoys great popularity. It is computationally simple and, like all arbitrage-based pricing models, does not require the knowledge of an investor’s risk preferences.
Marek Musiela, Marek Rutkowski
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1999
Abstract This chapter investigates the Black-Scholes model in detail. What we call the Black-Scholes model is not the formula for the value of a standard call option, but rather the economy consisting of a money market account with a constant interest rate and a risky security which does not pay dividends and whose price follows a ...
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Abstract This chapter investigates the Black-Scholes model in detail. What we call the Black-Scholes model is not the formula for the value of a standard call option, but rather the economy consisting of a money market account with a constant interest rate and a risky security which does not pay dividends and whose price follows a ...
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2012
The Black–Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing.
Marek Capiński, Ekkehard Kopp
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The Black–Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing.
Marek Capiński, Ekkehard Kopp
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2013
In the last chapter we introduced a binomial model, which provided an intuitive way for pricing derivatives and finding replicating portfolios. However, the binomial model often oversimplifies the real world, so that in practice one would aim to choose a model setup that better describes reality.
Hansjoerg Albrecher +3 more
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In the last chapter we introduced a binomial model, which provided an intuitive way for pricing derivatives and finding replicating portfolios. However, the binomial model often oversimplifies the real world, so that in practice one would aim to choose a model setup that better describes reality.
Hansjoerg Albrecher +3 more
openaire +1 more source