[PDF] Top 20 A. Black-Scholes Model
Has 10000 "A. Black-Scholes Model" found on our website. Below are the top 20 most common "A. Black-Scholes Model".
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 ... See full document
6
On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs
... We deal with some generalizations on a Black-Scholes model arising in financial mathematics. As a novelty in this paper, we consider a variable volatility and abstract functional boundary conditions, ... See full document
14
Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process
... Option pricing is one of the most important problems in quantitative finance and many researchers are involved in it. As a description, down–and–out barrier option is that option which deactivated (knock–out) if the ... See full document
7
A Linear Regression Approach for Determining Explicit Expressions for Option Prices for Equity Option Pricing Models with Dependent Volatility and Return Processes
... a Black-Scholes model formulation the implied volatility function must remain constant for different values of the strike price when the other parameters of the option pricing model are kept ... See full document
21
Optimal Portfolios of an Insurer and a Reinsurer under Proportional Reinsurance and Power Utility Preference
... risk model and allowed investment into a risky asset modelled as a Black-Scholes model as well as (proportional) reinsurance in the Cramer-Lundberg set up and solved the problem on determi- ... See full document
11
Market Valuation and Risk Assessment of Indian Banks using Black Scholes Merton Model
... of Black Scholes (1973) is a more robust predictor exhibiting lead times of 6 to 18 months whereas subordinated debt spreads is an unbiased indicator of bank ... See full document
26
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 ... See full document
8
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 ... See full document
15
(Analytic Formula for the European Normal Black Scholes Formula)
... make? The popular choice is to set ˆ G = K (strike), or ˆ G = F (future price). Then use these into the Normal model. These approximations display reasonable closeness to the actual lognormal price. Brief ... See full document
14
Pricing formula for exchange option in fractional Black-Scholes model with jumps
... Abstract. In this paper pricing formula for exchange option in a fractional Black-Scholes model with jumps is derived. We found out some errors in proof of pricing formula for European call option ... See full document
10
Convergence of the multi-step binomial model in the binomial market model to the Black-Scholes Financial model
... binomial model binomial market model to the Black-Scholes Financial ...binomial model converges in distribution to the celebrated Black-Scholes formula for a European call ... See full document
19
A New Approach for Solving Boundary Value Problem in Partial Differential Equation Arising in Financial Market
... the Black-Scholes-Merton partial differential equation for the price of European call option which pays a dividend yield by means of the Laplace ...the Black-Scholes-Merton model; it is ... See full document
12
Valuation of European Call Options Using Wavelet-Based Pricing Model and Black-Scholes Pricing Model
... Value of a call option using Wavelet Based pricing model Wavelet based pricing model has a shut structure answer for finding the cost of a European call option. In order to approximate the risk neutral MGF, ... See full document
7
An Application of Expanded Real Option in Investment Decision making of Iron Ore Resources in Chinese Steel Enterprises
... on Black-Scholes option pricing model and taking the fluctuation of iron ore price as a virtual variable, a decision-making model of iron ore resources investment with expanded real options is ... See full document
6
GROUP CLASSIFICATION FOR A GENERAL NONLINEAR MODEL OF OPTIONS PRICING
... generalized Black— Scholes equation [1], if, besides, w(t, x) = σ 2 x 2 ...classical Black—Scholes model ...pricing model or Sch¨ onbucher—Wilmott nonlinear feedback pricing ... See full document
8
Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India
... This Black–Scholes formula depends upon various assumptions which are given above. If we work on few assumptions and try to eliminate or modified these assumption, the shape of formula will change. The ... See full document
12
Assessing Credit Risk for a Ghanaian Bank Using the Black- Scholes Model
... Abstract— This paper examines the application of option pricing methodology to the evaluation of corporate credit risk in a banking credit portfolio context. Risk is here measured by means of the default probability of ... See full document
6
The Equation of Real Option Value under Trinomial Tree Model
... pricing model of the real option, and prove that the equation of real option value under trinomial tree model is approximate to Black-Scholes ...trinomial model is excelled than ... See full document
5
A Vega-Gamma Relationship for European-Style or Barrier Options in the Black-Scholes Model
... In this document we derive some fundamental relationships between the Greeks of a barrier option under the Black-Scholes model. A European-style option can be considered as a limit case. Besides the ... See full document
5
European option pricing of fractional Black-Scholes model with new Lagrange multipliers
... In this paper, a concept of the Sumudu-Lagrange multipliers is successfully applied for pricing European option of the fractional Black-Scholes equation. This scheme was clearly very efficient and powerful ... See full document
10
Related subjects