Black-Scholes type model
Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India
... a type of working paper; more results are calculated in future but as per our opinion this research paper is useful for Indian investors who are interested to calculate value of call and put option in more ...
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ESTIMATION OF STOCK OPTION PRICES USING BLACK-SCHOLES MODEL
... a type of derivatives contract, which has gained much attention by the ...the Black-Scholes (1973) option pricing model serves the important and widely used option pricing ...
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A Linear Regression Approach for Determining Explicit Expressions for Option Prices for Equity Option Pricing Models with Dependent Volatility and Return Processes
... stock-price model where the volatility and the return processes are assumed to be ...corresponding Black-Scholes-type option pricing results are ...
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(Analytic Formula for the European Normal Black Scholes Formula)
... In this short summary paper, a brief summary of Black Scholes type formulae for Normal model will be given. Usually the underlying security is assumed to follow a lognormal process (or ...
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The Development of options pricer and Black and Scholes Model
... Ce modèle binomial du mouvement des prix de l'action est extrêmement simpliste. On ne trouve jamais des actions dont le prix va augmenter jusqu'à un certain niveau ou vers le bas pour un certain niveau. Cependant à ...
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Evaluation of Geometric Asian Power Options under Fractional Brownian Motion
... this type of integral in his research of Brownian motion ...this type of path integral into finance, who developed empirical studies related to the Black-Scholes- Merton model and the ...
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A Study on Options Pricing Using GARCH and Black-Scholes-Merton Model
... There are two types of options: call options and put options. A call option conveys the right to buy the underlying asset at a specific price, while a put option conveys the right to sell the underlying asset at a ...
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European option pricing of fractional Black-Scholes model with new Lagrange multipliers
... tional Black-Scholes equation with the initial condition for a European option pricing ...this model is the most well known model for pricing financial ...
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Military Software Black-Scholes Pricing Model: Value of Software Option and Volatility
... As shown in the key equation (6), there are five factors that will influence the calculation result of software price directly. In order to solve the model, we should clear their values above all. Among these ...
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On the Interconnectedness of Schrodinger and Black Scholes Equation
... and Black-Scholes equation which is the cornerstone of quantitative finance, it is proved that Black- Scholes equation can be derived from Schrodinger equation by using tools of quantum ...
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A. Black-Scholes Model
... B-S model and the other factors, including the opening price, closing price, highest price, lowest price, trade volume and open ...B-S model as the predictors can be significantly improved by considering ...
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Black-Scholes for scientific computing students
... setting µ = r in the asset model and computing the average of the payoff over all asset paths. In practice, this may be done by Monte Carlo simulation—average the payoff over a large number of asset paths. For a ...
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Convergence of the multi-step binomial model in the binomial market model to the Black-Scholes Financial model
... binomial model and Black-Scholes model as discrete-time and continuous-time model respectively by using probability theory and basic stochastic ...
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Assessing Credit Risk for a Ghanaian Bank Using the Black- Scholes Model
... The objective of this paper is to evaluate or assess the default probability of firms and individuals and consequently the associated credit risk by the use of the Black-Scholes-Merton option pricing ...
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An Application of Expanded Real Option in Investment Decision making of Iron Ore Resources in Chinese Steel Enterprises
... The Basis for Calculating the Price of Expanded Real Options in Iron Ore Investment Projects. Expanded real option in iron ore investment project is a kind of non-tradable real option. There are essential differences ...
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The Operator Splitting Method for Black Scholes Equation
... and calculate easily, which is the option value of one time step before expiry. Using these values we can work step by step back down the grid as far as we re- quired. Table 2 shows the calculated call option values of ...
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On properties of solutions to Black–Scholes–Barenblatt equations
... initial cost to risklessly hedge a short position in the derivative security ϕ by self-financing portfolios. The properties above show that this type of pricing under volatility uncertainty is arbitrage-free in the ...
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Optimal Portfolios of an Insurer and a Reinsurer under Proportional Reinsurance and Power Utility Preference
... OALibJ | DOI:10.4236/oalib.1102033 3 December 2015 | Volume 2 | e2033 investment process of Black-Scholes type. The main purpose was to determine the role of investment and pro- portional reinsurance ...
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The Equation of Real Option Value under Trinomial Tree Model
... Crépey [3] Calibrated the local volatility in a trinomial tree by using Tikhonov regularization. Ding and Zeng [1] researched trinomial tree model of real option value. Jiang [4] get the convergence of the ...
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An Accurate Numerical Integrator for the Solution of Black Scholes Financial Model Equation
... of Black Scholes ...the Black Scholes equations with nonlinear volatilities has been performed using explicit finite difference schemes [21] ...
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