Black-Scholes option pricing model
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
... call option using the Black-Scholes Option Pricing Model (1973) for two actual companies: Coca-Cola (KO) and Pepsico ...call option, the risk-free rate of return, and the ...
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A Note about the Black Scholes Option Pricing Model under Time Varying Conditions
... “A Black-Scholes option pricing mode based on the risk-free interest rate under varying ...BS option pricing equation is hard to get an explicit ...
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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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Black Scholes Option Pricing Model Modified to Admit a Miniscule Drift Can Reproduce the Volatility Smile
... While yield is typically express as a percent return per year, the implied drift parameter in Figure 7 can be ex- pressed per day, by taking the difference of the price from 1.00 and dividing it by the number of days to ...
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ESTIMATION OF STOCK OPTION PRICES USING BLACK-SCHOLES MODEL
... the Black-Scholes option pricing model in pricing the stock option contracts for the selected 8 ...the Black-Scholes model along with its parameters ...
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Impact on option prices of divergent consumer confidence
... on option prices of divergent con- sumer conÞdence. To model this, we assume that consumers disagree on the expected growth rate of aggregate ...discrete-time Black-Scholes ...
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An Application of Expanded Real Option in Investment Decision making of Iron Ore Resources in Chinese Steel Enterprises
... the pricing method of real options, and analyses the value composition of real options in iron ore investment ...on Black-Scholes option pricing model and taking the fluctuation ...
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Effects of market sentiment in index option pricing: a study of CNX NIFTY index option
... Though Black-Scholes pricing has been widely used to price options, Manvendra Tiwari & Rritu Saurabha [2007] in their paper suggested that the modified Black-Scholes pricing ...
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Home Equity Insurance & The Demise Of Home Value Insurance Corporation
... This study uses the demise of the Home Value Insurance Company (HVIC) to explore whether the concept of home equity insurance is implementable. Shiller, R. and Weiss, A. (1999) and Goetzmann, W., Caplin, A., Hangen, E., ...
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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 ...a model with logistic distribution reflects better fit of option prices as ...
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A Nonparametric Option Pricing Model Using Higher Moments
... nonparametric pricing model of European call options that includes non-Gaussian characteristics of skewness and kurtosis is proposed based on the cubic market capital asset pricing ...equilibrium ...
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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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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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Kou Jump Diffusion Model: An Application to the S&P 500; Nasdaq 100 and Russell 2000 Index Options
... of option pricing: (a) The implied volatility daily calibrated Black–Scholes model, (b) the Cox and Ross univariate model with the volatility which is a deterministic and inverse ...
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Oscillatory Reduction in Option Pricing Formula Using Shifted Poisson and Linear Approximation
... Abstract. Option is one of derivative instruments that can help investors improve their expected return and minimize the ...the Black-Scholes formula is generally used in determining the price of the ...
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The Equation of Real Option Value under Trinomial Tree Model
... real option value is very important in the eva- luating of venture ...tree pricing model of the real option, and prove that the equation of real option value under trinomial tree ...
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Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process
... the model structure for pricing discrete down– and–out single and double barrier options is discussed and a recursive method is ...for pricing discrete barrier options like [15] and ...
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Pricing Options on Ghanaian Stocks Using Black-Scholes Model
... of option pricing began in the 1900s when Louis Bachelier (1900) provided a valuation for stock options based on the assumption that stock prices follow a Brownian ...the option pricing ...
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Currency Option Pricing under Stochastic Interest Rates and Extended Normal Distribution
... which Black-Scholes make. It extends Black-Scholes’ framework by incorporating the stochastic interest rates and the non-normal skewness and kurtosis distribution for log price of exchange ...
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