Works matching DE "BLACK-Scholes model"
Results: 439
Utility indifference pricing of convertible bonds.
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- International Journal of Information Technology & Decision Making, 2014, v. 13, n. 2, p. 429, doi. 10.1142/S0219622014500527
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COOPERATIVE INVESTMENT DECISIONS IN COMMUNITY SOURCE DEVELOPMENT.
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- International Journal of Information Technology & Decision Making, 2014, v. 13, n. 1, p. 5, doi. 10.1142/S0219622014500011
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Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option.
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- Numerical Methods for Partial Differential Equations, 2022, v. 38, n. 5, p. 1195, doi. 10.1002/num.22729
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A hybrid radial basis functions collocation technique to numerically solve fractional advection–diffusion models.
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- Numerical Methods for Partial Differential Equations, 2020, v. 36, n. 6, p. 1254, doi. 10.1002/num.22472
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A superconvergent fitted finite volume method for Black- Scholes equations governing European and American option valuation.
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- Numerical Methods for Partial Differential Equations, 2015, v. 31, n. 4, p. 1190, doi. 10.1002/num.21941
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Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes.
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- Numerical Methods for Partial Differential Equations, 2014, v. 30, n. 1, p. 210, doi. 10.1002/num.21804
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Using an option pricing approach to evaluate strategic decisions in a rapidly changing climate: Black-Scholes and climate change.
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- Climatic Change, 2017, v. 140, n. 3/4, p. 437, doi. 10.1007/s10584-016-1860-5
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A HYBRID CHELYSHKOV WAVELET-FINITE DIFFERENCES METHOD FOR TIME-FRACTIONAL BLACK-SCHOLES EQUATION.
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- Journal of Mahani Mathematical Research Center, 2024, v. 13, n. 2, p. 423, doi. 10.22103/jmmr.2024.22371.1526
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Rank-dependent predictable forward performance processes.
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- Probability, Uncertainty & Quantitative Risk, 2024, v. 9, n. 2, p. 1, doi. 10.3934/puqr.2024010
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Comparison of Black-Scholes and GARCH Option Models on The Jakarta Islamic Index with Collar Strategy.
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- Journal of Finance & Banking Review (JFBR), 2023, v. 7, n. 4, p. 16, doi. 10.35609/jfbr.2023.7.4(2)
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On the Use of Exchange Rate Models in Damage Compensation Calculations.
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- Earnings Analyst, 2021, v. 17, p. 16
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On the Use of Exchange Rate Models in Damage Compensation Calculations.
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- Earnings Analyst, 2020, p. 16
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A note on the exact discretization for a Cauchy–Euler equation: application to the Black–Scholes equation.
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- Journal of Difference Equations & Applications, 2015, v. 21, n. 7, p. 547, doi. 10.1080/10236198.2015.1034118
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A q-binomial extension of the CRR asset pricing model.
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- Stochastic Models, 2023, v. 39, n. 4, p. 772, doi. 10.1080/15326349.2023.2173231
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Optimal Strategies for a Long-Term Static Investor.
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- Stochastic Models, 2014, v. 30, n. 3, p. 300, doi. 10.1080/15326349.2014.929504
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Application of Option Pricing Theory in Water Conservancy Finance.
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- Journal of Coastal Research, 2020, v. 104, p. 633, doi. 10.2112/JCR-SI104-107.1
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Pricing airbag option via first passage time approach.
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- Quantitative Finance, 2024, v. 24, n. 7, p. 955, doi. 10.1080/14697688.2024.2379919
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Closed-form option pricing for exponential Lévy models: a residue approach.
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- Quantitative Finance, 2023, v. 23, n. 2, p. 251, doi. 10.1080/14697688.2022.2152365
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Bitcoin: jumps, convenience yields, and option prices.
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- Quantitative Finance, 2022, v. 22, n. 11, p. 2079, doi. 10.1080/14697688.2022.2109989
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Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model.
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- Quantitative Finance, 2022, v. 22, n. 9, p. 1693, doi. 10.1080/14697688.2022.2076607
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Robust deep hedging.
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- Quantitative Finance, 2022, v. 22, n. 8, p. 1465, doi. 10.1080/14697688.2022.2056073
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Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models.
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- Quantitative Finance, 2022, v. 22, n. 4, p. 675, doi. 10.1080/14697688.2021.1998585
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Equal risk pricing and hedging of financial derivatives with convex risk measures.
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- Quantitative Finance, 2022, v. 22, n. 1, p. 47, doi. 10.1080/14697688.2021.1993614
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Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities.
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- Quantitative Finance, 2021, v. 21, n. 1, p. 125, doi. 10.1080/14697688.2020.1773519
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Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options.
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- Quantitative Finance, 2020, v. 20, n. 10, p. 1701, doi. 10.1080/14697688.2020.1753884
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A PDE method for estimation of implied volatility.
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- Quantitative Finance, 2020, v. 20, n. 3, p. 393, doi. 10.1080/14697688.2019.1675898
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Predicting corporate bankruptcy using the framework of Leland-Toft: evidence from U.S.
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- Quantitative Finance, 2020, v. 20, n. 2, p. 329, doi. 10.1080/14697688.2019.1667519
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The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios.
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- Quantitative Finance, 2019, v. 19, n. 9, p. 1543, doi. 10.1080/14697688.2019.1622302
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Asian option pricing with orthogonal polynomials.
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- Quantitative Finance, 2019, v. 19, n. 4, p. 605, doi. 10.1080/14697688.2018.1526396
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A recursive method for static replication of autocallable structured products.
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- Quantitative Finance, 2019, v. 19, n. 4, p. 647, doi. 10.1080/14697688.2018.1523546
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Generative Bayesian neural network model for risk-neutral pricing of American index options.
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- Quantitative Finance, 2019, v. 19, n. 4, p. 587, doi. 10.1080/14697688.2018.1490807
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Smoothing the payoff for efficient computation of Basket option prices.
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- Quantitative Finance, 2018, v. 18, n. 3, p. 491, doi. 10.1080/14697688.2017.1308003
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Short-time at-the-money skew and rough fractional volatility.
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- Quantitative Finance, 2017, v. 17, n. 2, p. 189, doi. 10.1080/14697688.2016.1197410
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Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk.
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- Quantitative Finance, 2016, v. 16, n. 11, p. 1725, doi. 10.1080/14697688.2016.1176240
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Valuation of American options under the CGMY model.
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- Quantitative Finance, 2016, v. 16, n. 10, p. 1529, doi. 10.1080/14697688.2016.1158854
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Model risk of contingent claims.
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- Quantitative Finance, 2016, v. 16, n. 9, p. 1357, doi. 10.1080/14697688.2016.1142671
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Ross recovery with recurrent and transient processes.
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- Quantitative Finance, 2016, v. 16, n. 5, p. 667, doi. 10.1080/14697688.2015.1092572
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Statistical arbitrage in the Black–Scholes framework.
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- Quantitative Finance, 2015, v. 15, n. 9, p. 1489, doi. 10.1080/14697688.2014.961531
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Implied integrated variance and hedging.
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- Quantitative Finance, 2015, v. 15, n. 9, p. 1515, doi. 10.1080/14697688.2014.1002418
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- Article
The fair value of FX options. Do you get what you pay for?
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- Quantitative Finance, 2014, v. 14, n. 1, p. 15, doi. 10.1080/14697688.2013.787493
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- Article
THE PRICE-TAKER EFFECT ON THE VALUATION OF EXECUTIVE STOCK OPTIONS.
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- Journal of Financial Research, 2014, v. 37, n. 1, p. 27, doi. 10.1111/jfir.12027
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Black-Scholes formula - a Heston approach.
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- BRAND: Broad Research in Accounting, Negotiation & Distribution, 2015, v. 6, n. 1/2, p. 21
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- Article
The Impact of Market Liquidity on the Effectiveness of Option Valuation with the Black-Scholes-Merton Model Using the Example of the WIG20 Index.
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- Financial Sciences / Nauki o Finansach, 2022, v. 27, n. 1, p. 58, doi. 10.15611/fins.2022.1.05
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- Article
Pricing European and American Options by SPH Method.
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- International Journal of Computational Methods, 2020, v. 17, n. 8, p. N.PAG, doi. 10.1142/S0219876219500439
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- Article
Differentiability of the Arrival Time.
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- Communications on Pure & Applied Mathematics, 2016, v. 69, n. 12, p. 2349, doi. 10.1002/cpa.21635
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On Option Pricing in Illiquid Markets with Jumps.
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- ISRN Mathematical Analysis, 2013, p. 1, doi. 10.1155/2013/567071
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Analytical solutions for the Black-Scholes equation.
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- Applications & Applied Mathematics, 2017, v. 12, n. 2, p. 843
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Accurate delta hedging of european options using conformable calculus.
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- EconoQuantum, 2024, v. 21, n. 1, p. 59, doi. 10.18381/eq.v21i1.7324
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Task-Based Discrimination.
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- American Economic Review, 2024, v. 114, n. 6, p. 1723, doi. 10.1257/aer.20220234
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- Article
Cogs and Monsters: What Economics Is and What It Should Be.
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- International Studies / Međunarodne Studije, 2022, v. 22, n. 1, p. 117
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