Black-Scholes Option Pricing
Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India
... derivative Black- Scholes Option Pricing Model shows suitable use of financial mathematics to derive the formula of valuation of Call and Put option but the derivation of ...
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Valuing Coca-Cola And PepsiCo Options Using The Black-Scholes Option Pricing Model And Data Downloads From The Internet
... of Black- Scholes Option Pricing Model call option prices for Coca-Cola and ...and option price are taken from Yahoo Finance and the daily returns variance is computed from daily ...
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Black Scholes Option Pricing Model Modified to Admit a Miniscule Drift Can Reproduce the Volatility Smile
... the Black-Scholes option pricing model is modified to have a free drift parameter alongside volatil- ...Extended Black-Scholes ...and option prices are very similar to ...
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On the Internal Consistency of the Black Scholes Option Pricing Model
... a pricing-kernel is sufficient to value the payment ...classical option pricing formulas abstract from both risky dividends and risky discount ...
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A Note about the Black Scholes Option Pricing Model under Time Varying Conditions
... BS option pricing assumptions: (i) stock volatility expectations during the option period is unchanged; (ii) the market there is no friction, namely, there is no tax and transaction costs; (iii) the ...
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Home Equity Insurance & The Demise Of Home Value Insurance Corporation
... put option calculated using the Black Scholes Option Pricing Formula: (a) The annualized volatility of the home price index could be approximated by multiplying the square root of the ...
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Effects of market sentiment in index option pricing: a study of CNX NIFTY index option
... in pricing Indian CNX Nifty index call Option during the period from April 2002 to December ...that Black- Scholes option pricing model using the implied volatility of previous ...
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International Journal of Partial Differential Equations and Applications
... the Black-Scholes option pricing equation modeled by fractional Brownian motion using change of variables and Fourier transform to analyze and study option ...increases option ...
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ESTIMATION OF STOCK OPTION PRICES USING BLACK-SCHOLES MODEL
... call option valuation model for constant elasticity of variance diffusion processes against the black-Scholes call option valuation ...the Black-Scholes ...The ...
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Ririn Sispiyati
... 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 ...options pricing ...
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Impact on option prices of divergent consumer confidence
... discrete-time Black-Scholes option pricing model (hereafter the B-S model) under the assumption that in- vestors have identical beliefs, identical constant coefficients of relative risk aver- ...
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An Application of Expanded Real Option in Investment Decision making of Iron Ore Resources in Chinese Steel Enterprises
... (4) Pricing Method of Real Options. Real option pricing method is to find the corresponding underlying financial assets in the financial market through the corresponding relationship with financial ...
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RealOptionLuehrman.pdf
... formal option-pricing the- ...call option. Then we’ll compare DCF with the option-pricing approach to evaluat- ing the ...for option values, the framework uses the ...
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Future of option pricing: use of log logistic distribution instead of log normal distribution in Black Scholes model
... using Black Scholes option pricing model and one of the prominent features of it is normal ...of option prices as compared to normal ...and Black Scholes Model based on ...
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Option pricing in the multidimensional Black-Scholes market with Vasicek interest rates
... multivariate Black-Scholes-Vasicek (BSV) deflator and has applied it to option pricing in ...the Black-Scholes deflator to a more general version with Vasicek interest rates as ...
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Oscillatory Reduction in Option Pricing Formula Using Shifted Poisson and Linear Approximation
... For option holder’s benefit, calculation of option prices (return/payoff of option trading) is ...The option price calculation generally uses the Black-Scholes model ...the ...
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Pricing a European Option in a Black Scholes Quanto Market When Stock Price is a Semimartingale
... lead to different strategies. There are more than one ELMM, in fact infinitely many. The question is that which one of them should one use in the pricing formula. To answer our question it turns out that there ...
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On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound Option
... neutral pricing of European compound call option, where the underlying asset is also a European call ...neutral pricing formula for compound call option, converges in distribution to the well ...
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On the Parametric Interest of the Option Price from the Black-Scholes Equation
... of Black- Scholes equation, International Journal of Pure and Ap- plied Mathematics, ...[4] Black F., Scholes M., The pricing of options and ...
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Barrier options pricing of fractional version of the Black-Scholes model
... European option price at as- set price S and at time t, T is the maturity, r(t) is the risk free interest rate and σ(S, t) represents the volatility function of underlying ...
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