Works matching DE "BLACK-Scholes model"

Results: 434

Utility indifference pricing of convertible bonds.

Published in:

International Journal of Information Technology & Decision Making, 2014, v. 13, n. 2, p. 429, doi. 10.1142/S0219622014500527

By:

Liu, Jian;
Tao, Mengxian;
Ma, Chaoqun;
Wen, Fenghua

Publication type:

Article

COOPERATIVE INVESTMENT DECISIONS IN COMMUNITY SOURCE DEVELOPMENT.

Published in:

International Journal of Information Technology & Decision Making, 2014, v. 13, n. 1, p. 5, doi. 10.1142/S0219622014500011

By:

MANLU LIU;
ZENG, DANIEL D.;
LEON ZHAO

Publication type:

Article

Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option.

Published in:

Numerical Methods for Partial Differential Equations, 2022, v. 38, n. 5, p. 1195, doi. 10.1002/num.22729

By:

Kumar, Devendra;
Deswal, Komal

Publication type:

Article

A hybrid radial basis functions collocation technique to numerically solve fractional advection–diffusion models.

Published in:

Numerical Methods for Partial Differential Equations, 2020, v. 36, n. 6, p. 1254, doi. 10.1002/num.22472

By:

Hussain, Manzoor;
Haq, Sirajul

Publication type:

Article

A superconvergent fitted finite volume method for Black- Scholes equations governing European and American option valuation.

Published in:

Numerical Methods for Partial Differential Equations, 2015, v. 31, n. 4, p. 1190, doi. 10.1002/num.21941

By:

Wang, Song;
Zhang, Shuhua;
Fang, Zhiwei

Publication type:

Article

Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes.

Published in:

Numerical Methods for Partial Differential Equations, 2014, v. 30, n. 1, p. 210, doi. 10.1002/num.21804

By:

González ‐ Parra, Gilberto;
Arenasm, Abraham J.;
Chen ‐ Charpentier, Benito M.

Publication type:

Article

Using an option pricing approach to evaluate strategic decisions in a rapidly changing climate: Black-Scholes and climate change.

Published in:

Climatic Change, 2017, v. 140, n. 3/4, p. 437, doi. 10.1007/s10584-016-1860-5

By:

Sturm, Matthew;
Goldstein, Michael;
Huntington, Henry;
Douglas, Thomas

Publication type:

Article

Rank-dependent predictable forward performance processes.

Published in:

Probability, Uncertainty & Quantitative Risk, 2024, v. 9, n. 2, p. 1, doi. 10.3934/puqr.2024010

By:

Angoshtari, Bahman;
Duan, Shida

Publication type:

Article

Comparison of Black-Scholes and GARCH Option Models on The Jakarta Islamic Index with Collar Strategy.

Published in:

Journal of Finance & Banking Review (JFBR), 2023, v. 7, n. 4, p. 16, doi. 10.35609/jfbr.2023.7.4(2)

By:

Hendrawan, Riko;
Arifin, Zainal

Publication type:

Article

On the Use of Exchange Rate Models in Damage Compensation Calculations.

Published in:

Earnings Analyst, 2021, v. 17, p. 16

By:

Campbell, Kaycea;
McFarlane, Adian;
Das, Anupam

Publication type:

Article

On the Use of Exchange Rate Models in Damage Compensation Calculations.

Published in:

Earnings Analyst, 2020, p. 16

By:

Campbell, Kaycea;
McFarlane, Adian;
Das, Anupam

Publication type:

Article

A note on the exact discretization for a Cauchy–Euler equation: application to the Black–Scholes equation.

Published in:

Journal of Difference Equations & Applications, 2015, v. 21, n. 7, p. 547, doi. 10.1080/10236198.2015.1034118

By:

Mickens, Ronald E.;
Munyakazi, Justin;
Washington, Talitha M.

Publication type:

Article

A q-binomial extension of the CRR asset pricing model.

Published in:

Stochastic Models, 2023, v. 39, n. 4, p. 772, doi. 10.1080/15326349.2023.2173231

By:

Breton, Jean-Christophe;
El-Khatib, Youssef;
Fan, Jun;
Privault, Nicolas

Publication type:

Article

Optimal Strategies for a Long-Term Static Investor.

Published in:

Stochastic Models, 2014, v. 30, n. 3, p. 300, doi. 10.1080/15326349.2014.929504

By:

Zhu, Lingjiong

Publication type:

Article

Application of Option Pricing Theory in Water Conservancy Finance.

Published in:

Journal of Coastal Research, 2020, v. 104, p. 633, doi. 10.2112/JCR-SI104-107.1

By:

Lu, Xiaoli;
He, Guang

Publication type:

Article

Pricing airbag option via first passage time approach.

Published in:

Quantitative Finance, 2024, v. 24, n. 7, p. 955, doi. 10.1080/14697688.2024.2379919

By:

Liu, Zheng;
Qian, Xiaosong;
Yao, Jing;
Dong, Yinghui

Publication type:

Article

Closed-form option pricing for exponential Lévy models: a residue approach.

Published in:

Quantitative Finance, 2023, v. 23, n. 2, p. 251, doi. 10.1080/14697688.2022.2152365

By:

Aguilar, Jean-Philippe;
Kirkby, Justin Lars

Publication type:

Article

Bitcoin: jumps, convenience yields, and option prices.

Published in:

Quantitative Finance, 2022, v. 22, n. 11, p. 2079, doi. 10.1080/14697688.2022.2109989

By:

Hilliard, Jimmy E.;
Ngo, Julie T. D.

Publication type:

Article

Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model.

Published in:

Quantitative Finance, 2022, v. 22, n. 9, p. 1693, doi. 10.1080/14697688.2022.2076607

By:

Hu, Xiaobo;
Xue, Jungong;
Yu, Xiandi

Publication type:

Article

Robust deep hedging.

Published in:

Quantitative Finance, 2022, v. 22, n. 8, p. 1465, doi. 10.1080/14697688.2022.2056073

By:

Lütkebohmert, Eva;
Schmidt, Thorsten;
Sester, Julian

Publication type:

Article

Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models.

Published in:

Quantitative Finance, 2022, v. 22, n. 4, p. 675, doi. 10.1080/14697688.2021.1998585

By:

Asmussen, Søren;
Bladt, Mogens

Publication type:

Article

Equal risk pricing and hedging of financial derivatives with convex risk measures.

Published in:

Quantitative Finance, 2022, v. 22, n. 1, p. 47, doi. 10.1080/14697688.2021.1993614

By:

Marzban, Saeed;
Delage, Erick;
Li, Jonathan Yu-Meng

Publication type:

Article

Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities.

Published in:

Quantitative Finance, 2021, v. 21, n. 1, p. 125, doi. 10.1080/14697688.2020.1773519

By:

Hilliard, Jimmy E.;
Hilliard, Jitka;
Ni, Yinan

Publication type:

Article

Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options.

Published in:

Quantitative Finance, 2020, v. 20, n. 10, p. 1701, doi. 10.1080/14697688.2020.1753884

By:

Xiang, Jiangming;
Wang, Xiaoqun

Publication type:

Article

A PDE method for estimation of implied volatility.

Published in:

Quantitative Finance, 2020, v. 20, n. 3, p. 393, doi. 10.1080/14697688.2019.1675898

By:

Matić, Ivan;
Radoičić, Radoš;
Stefanica, Dan

Publication type:

Article

Predicting corporate bankruptcy using the framework of Leland-Toft: evidence from U.S.

Published in:

Quantitative Finance, 2020, v. 20, n. 2, p. 329, doi. 10.1080/14697688.2019.1667519

By:

Charalambous, Chris;
Martzoukos, Spiros H.;
Taoushianis, Zenon

Publication type:

Article

The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios.

Published in:

Quantitative Finance, 2019, v. 19, n. 9, p. 1543, doi. 10.1080/14697688.2019.1622302

By:

Halperin, Igor

Publication type:

Article

Asian option pricing with orthogonal polynomials.

Published in:

Quantitative Finance, 2019, v. 19, n. 4, p. 605, doi. 10.1080/14697688.2018.1526396

By:

Willems, Sander

Publication type:

Article

A recursive method for static replication of autocallable structured products.

Published in:

Quantitative Finance, 2019, v. 19, n. 4, p. 647, doi. 10.1080/14697688.2018.1523546

By:

Kim, Kyoung-Kuk;
Lim, Dong-Young

Publication type:

Article

Generative Bayesian neural network model for risk-neutral pricing of American index options.

Published in:

Quantitative Finance, 2019, v. 19, n. 4, p. 587, doi. 10.1080/14697688.2018.1490807

By:

Jang, Huisu;
Lee, Jaewook

Publication type:

Article

Smoothing the payoff for efficient computation of Basket option prices.

Published in:

Quantitative Finance, 2018, v. 18, n. 3, p. 491, doi. 10.1080/14697688.2017.1308003

By:

Bayer, Christian;
Siebenmorgen, Markus;
Tempone, Raul

Publication type:

Article

Short-time at-the-money skew and rough fractional volatility.

Published in:

Quantitative Finance, 2017, v. 17, n. 2, p. 189, doi. 10.1080/14697688.2016.1197410

By:

Fukasawa, Masaaki

Publication type:

Article

Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk.

Published in:

Quantitative Finance, 2016, v. 16, n. 11, p. 1725, doi. 10.1080/14697688.2016.1176240

By:

Simaitis, S.;
de Graaf, C. S. L.;
Hari, N.;
Kandhai, D.

Publication type:

Article

Valuation of American options under the CGMY model.

Published in:

Quantitative Finance, 2016, v. 16, n. 10, p. 1529, doi. 10.1080/14697688.2016.1158854

By:

Guo, Xu;
Li, Yutian

Publication type:

Article

Model risk of contingent claims.

Published in:

Quantitative Finance, 2016, v. 16, n. 9, p. 1357, doi. 10.1080/14697688.2016.1142671

By:

Detering, Nils;
Packham, Natalie

Publication type:

Article

Ross recovery with recurrent and transient processes.

Published in:

Quantitative Finance, 2016, v. 16, n. 5, p. 667, doi. 10.1080/14697688.2015.1092572

By:

Park, Hyungbin

Publication type:

Article

Statistical arbitrage in the Black–Scholes framework.

Published in:

Quantitative Finance, 2015, v. 15, n. 9, p. 1489, doi. 10.1080/14697688.2014.961531

By:

Göncü, Ahmet

Publication type:

Article

Implied integrated variance and hedging.

Published in:

Quantitative Finance, 2015, v. 15, n. 9, p. 1515, doi. 10.1080/14697688.2014.1002418

By:

Kaila, Ruth

Publication type:

Article

The fair value of FX options. Do you get what you pay for?

Published in:

Quantitative Finance, 2014, v. 14, n. 1, p. 15, doi. 10.1080/14697688.2013.787493

By:

Charvin, Vincent;
Fullwood, Jonathan;
James, Jessica

Publication type:

Article

THE PRICE-TAKER EFFECT ON THE VALUATION OF EXECUTIVE STOCK OPTIONS.

Published in:

Journal of Financial Research, 2014, v. 37, n. 1, p. 27, doi. 10.1111/jfir.12027

By:

Yang, Tung‐Hsiao;
Chance, Don M.

Publication type:

Article

Black-Scholes formula - a Heston approach.

Published in:

BRAND: Broad Research in Accounting, Negotiation & Distribution, 2015, v. 6, n. 1/2, p. 21

By:

Patrut, Bogdan;
Socaciu, Tiberiu

Publication type:

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.

Published in:

Financial Sciences / Nauki o Finansach, 2022, v. 27, n. 1, p. 58, doi. 10.15611/fins.2022.1.05

By:

Prymon, Michał

Publication type:

Article

Pricing European and American Options by SPH Method.

Published in:

International Journal of Computational Methods, 2020, v. 17, n. 8, p. N.PAG, doi. 10.1142/S0219876219500439

By:

Achchab, B.;
Maloum, A. Cheikh;
El Idrissi, A. Qadi

Publication type:

Article

Differentiability of the Arrival Time.

Published in:

Communications on Pure & Applied Mathematics, 2016, v. 69, n. 12, p. 2349, doi. 10.1002/cpa.21635

By:

Colding, Tobias Holck;
Minicozzi, William P.

Publication type:

Article

On Option Pricing in Illiquid Markets with Jumps.

Published in:

ISRN Mathematical Analysis, 2013, p. 1, doi. 10.1155/2013/567071

By:

El-Khatib, Youssef;
Hatemi-J., Abdulnasser

Publication type:

Article

Analytical solutions for the Black-Scholes equation.

Published in:

Applications & Applied Mathematics, 2017, v. 12, n. 2, p. 843

By:

Manafian, Jalil;
Paknezhad, Mahnaz

Publication type:

Article

Accurate delta hedging of european options using conformable calculus.

Published in:

EconoQuantum, 2024, v. 21, n. 1, p. 59, doi. 10.18381/eq.v21i1.7324

By:

Olmos, Andrés;
Muriel, Nelson

Publication type:

Article

Task-Based Discrimination.

Published in:

American Economic Review, 2024, v. 114, n. 6, p. 1723, doi. 10.1257/aer.20220234

By:

Hurst, Erik;
Rubinstein, Yona;
Shimizu, Kazuatsu

Publication type:

Article

Cogs and Monsters: What Economics Is and What It Should Be.

Published in:

International Studies / Međunarodne Studije, 2022, v. 22, n. 1, p. 117

By:

Lučev, Josip

Publication type:

Article

PRECIOS, COSTOS Y LA OPCIÓN REAL DE EXPANDIR LA UNIDAD DE PRODUCCIÓN DE HUEVO COMERCIAL EN MÉXICO.

Published in:

Agrociencia, 2020, v. 54, n. 4, p. 589, doi. 10.47163/agrociencia.v54i4.2052

By:

Pérez-Cerecedo, Verónica;
de J. Brambila-Paz, José;
Matus-Gardea, Jaime A.;
Barrera-Islas, Daniel;
González-Estrada, Adrián;
Portillo-Vázquez, Marcos

Publication type:

Article