Black-Scholes
An Accurate Numerical Integrator for the Solution of Black Scholes Financial Model Equation
... In this paper the Black Scholes differential equation is transformed into a parabolic heat equation by appropriate change in variables. The transformed equation is semi-discretized by the Method of Lines ...
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(Analytic Formula for the European Normal Black Scholes Formula)
... The idea of the theory is that The fair value of any derivative security is computed as the expectation of the payoff under an equivalent martingale measure (Karatzas [2]). More specifically, the price is the expectation ...
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Mental Accounting: A Closed Form Alternative to the Black Scholes Model
... The previous section considers a discrete trinomial situation and derives the pricing relations for a European call option under mental accounting. It also shows that the prices generated by the mental accounting ...
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The Simulation of European Call Options’ Sensitivity Based on Black Scholes Option Formula
... Acco rding to th e author’s statistical studies, the stock with small capitalization is difficult to meet the applica- tion conditions of Black-Scholes option because of its overlarge fluctuation. So we ...
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An Adaptive Succesive Over relaxation Method for Computing the Black Scholes Implied Volatility
... Our first contribution in this paper is that we design a new method to compute the implied volatility. The basic idea of our method is to split the Black-Scholes formula into two parts and to search for the ...
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An Extension of the Black Scholes and Margrabe Formulas to a Multiple Risk Economy
... The first rigorous mathematical derivation of the Black- Scholes formula in [1] (see also [2]) relies on a dynamic delta-hedge portfolio and a risk-free argument of no- arbitrage. Later on [3] introduced ...
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Alternative Approach for the Solution of the Black Scholes Partial Differential Equation for European Call Option
... From Experiment 1, we can see that the price of European call option via the modified Mellin transform method and analytic option pricing formula are the same. Table 1 shows the effect of dividend yield on the ...
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A universal difference method for time space fractional Black Scholes equation
... The Black-Scholes (B-S) equation is an important mathematical model in option pricing theory of finance engineering. In the financial market, the extensive application of B-S option pricing model has been ...
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On the Solution of the Multi Asset Black Scholes Model: Correlations, Eigenvalues and Geometry
... multi-asset Black-Scholes model [3] ...the Black and Scholes standard ...multi-asset Black-Scholes model is increasingly difficult for models with more that three assets, see for ...
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Exact Solution of Fractional Black Scholes European Option Pricing Equations
... We introduce two algorithms in order to find the exact solution of the nonli- near Time-fractional Partial differential equation, in this research work. Those algorithms are proposed in the following structure: The ...
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The Operator Splitting Method for Black Scholes Equation
... and Black and Merton [3], made an impor- tant breakthrough in the pricing of complex financial instruments by developing what has become known as the Black-Scholes ...The Black-Scholes ...
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On the Interconnectedness of Schrodinger and Black Scholes Equation
... a Black-Scholes equation by using tools of quantum physics pertaining in that sense to Hamiltonian operator, path integrals, completeness equation, intro- ducing ket and bra ...to ...
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Searching for the Kuhnian moment : the Black Scholes Merton formula and the evolution of modern finance theory
... the Black-Scholes-Merton theorem, its easy acceptance as the common-sense of both academic theorists and market practitioners and the strong performativity of its application are all evidence of its ...
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A Study on Numerical Solution of Black Scholes Model
... This equation can be solved by both analytically and numerically. Black and Scholes (1973) of M.I.T. first found the solution by taking advantage of previous research on option pricing that gave an idea of ...
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On the Internal Consistency of the Black Scholes Option Pricing Model
... The full set of assumptions made in Black and Scholes [2] can be made consistent by dropping the standard no arbitrage condition. Without a no arbitrage condition, the martingale representation (1) of ...
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Military Software Black-Scholes Pricing Model: Value of Software Option and Volatility
... In original Black-Scholes model, the volatility remains invariant. But in real options, volatility will make great influence in result and it always changes in specific problems. By analysis we make it ...
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On option pricing in illiquid markets with random jumps
... of Black and Scholes (1973). One of the shortcomings of the Black and Scholes model is the assumption that an option trader cannot affect the underlying asset ...
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On the Economic Premium Principle
... The Black-Scholes (BS) option pricing formula is used to not only evaluate the option price but also identify the (market) volatility of the underly- ing stock that reflects the perspective from market ...
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A. Black-Scholes Model
... Abstract—The Black-Scholes (B-S) model is the traditional tool for giving a theoretical estimate of the price of European-style options. However, the basic assumptions on the assets and market made in the ...
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An adaptive moving mesh method for a time fractional Black–Scholes equation
... As discussed in [24], the exact solutions of the time-fractional B–S equations may exhibit singularity. Based on a priori information of the exact solution, Cen et al. [2] presented an integral discretization scheme on a ...
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