Works matching DE "BLACK-Scholes model"

Results: 451

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

The Role of the Volatility in the Option Market.

Published in:

AppliedMath, 2023, v. 3, n. 4, p. 882, doi. 10.3390/appliedmath3040047

By:

Arraut, Ivan;
Lei, Ka-I

Publication type:

Article

Information Content in Sneer Asymmetry: An Application to Out-of-Sample Implied Volatility Forecasting.

Published in:

Emerging Markets Finance & Trade, 2015, v. 51, p. 34, doi. 10.1080/1540496X.2015.1039900

By:

Choi, Youngsoo;
Jordan, Steven J.;
Lee, Wonchang

Publication type:

Article

On regime-switching European option pricing.

Published in:

Cogent Economics & Finance, 2023, v. 11, n. 1, p. 1, doi. 10.1080/23322039.2023.2203439

By:

Kalovwe, Sebastian Kaweto;
Mwaniki, Joseph Ivivi;
Simwa, Richard Onyino

Publication type:

Article

Volterra equation for pricing and hedging in a regime switching market.

Published in:

Cogent Economics & Finance, 2014, v. 2, n. 3, p. 1

By:

Goswami, Anindya;
Saini, Ravi Kant

Publication type:

Article

Recommendations for Further Reading.

Published in:

Journal of Economic Perspectives, 2025, v. 39, n. 2, p. 275, doi. 10.1257/jep.20251441

By:

Taylor, Timothy

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

SIMPLE CHOOSER OPTIONS WITH MAPLE.

Published in:

Technical Transactions / Czasopismo Techniczne, 2014, n. 17, p. 39

By:

MILIAN, ANNA

Publication type:

Article

On Comparative Analysis for the Black-Scholes Model in the Generalized Fractional Derivatives Sense via Jafari Transform.

Published in:

Journal of Function Spaces, 2021, p. 1, doi. 10.1155/2021/7767848

By:

Rashid, Saima;
Sultana, Sobia;
Ashraf, Rehana;
Kaabar, Mohammed K. A.

Publication type:

Article

Pricing options on investment project expansions under commodity price uncertainty.

Published in:

Journal of Industrial & Management Optimization, 2019, v. 15, n. 1, p. 261, doi. 10.3934/jimo.2018042

By:

Li, Nan;
Wang, Song

Publication type:

Article

A FINITE DIFFERENCE METHOD FOR PRICING EUROPEAN AND AMERICAN OPTIONS UNDER A GEOMETRIC LÉVY PROCESS.

Published in:

Journal of Industrial & Management Optimization, 2015, v. 11, n. 1, p. 241, doi. 10.3934/jimo.2015.11.241

By:

Wen Chen;
Song Wang

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

Exact solutions of a Black-Scholes model with time-dependent parameters by utilizing potential symmetries.

Published in:

Discrete & Continuous Dynamical Systems - Series S, 2020, v. 13, n. 10, p. 2841, doi. 10.3934/dcdss.2020122

By:

Naz, Rehana;
Naeem, Imran

Publication type:

Article

A pricing option approach based on backward stochastic differential equation theory.

Published in:

Discrete & Continuous Dynamical Systems - Series S, 2019, v. 12, n. 4/5, p. 969, doi. 10.3934/dcdss.2019065

By:

Jiang, Xiao-Qian;
Zhang, Lun-Chuan

Publication type:

Article

Time-dependent volatility in futures contract options.

Published in:

Investment Analysts Journal, 2019, v. 48, n. 1, p. 30, doi. 10.1080/10293523.2018.1560114

By:

Jilong Chen;
Ewald, Christian;
Kutan, Ali M.

Publication type:

Article

Optimizing Grid Layouts for Level‐of‐Detail Exploration of Large Data Collections.

Published in:: Computer Graphics Forum, 2022, v. 41, n. 3, p. 247, doi. 10.1111/cgf.14537
Publication type:: Article

EMPIRICAL DISTRIBUTIONS OF NIFTY RETURNS FROM 1991 TO 2010.

Published in:

Hyperion International Journal of Econophysics & New Economy, 2013, v. 6, n. 2, p. 265

By:

MOHAMMAD, Faiz;
ANSARI, Valeed A.

Publication type:

Article

Actuarial pricing with financial methods.

Published in:

Scandinavian Actuarial Journal, 2023, v. 2023, n. 5, p. 450, doi. 10.1080/03461238.2022.2111529

By:

Balbás, Alejandro;
Balbás, Beatriz;
Balbás, Raquel;
Heras, Antonio

Publication type:

Article

ON BLACK-SCHOLES EQUATION; METHOD OF HEIR-EQUATIONS, NONLINEAR SELF-ADJOINTNESS AND CONSERVATION LAWS.

Published in:

Bulletin of the Iranian Mathematical Society, 2016, v. 42, n. 4, p. 903

By:

HASHEMI, M. S.

Publication type:

Article

Do Aussie markets smile? Implied volatility functions and determinants.

Published in:

Applied Economics, 2015, v. 47, n. 30, p. 3143, doi. 10.1080/00036846.2015.1013606

By:

Tanha, Hassan;
Dempsey, Michael

Publication type:

Article

Lie Symmetry Analysis of a First-Order Feedback Model of Option Pricing.

Published in:

Advances in Mathematical Physics, 2015, v. 2015, p. 1, doi. 10.1155/2015/361785

By:

Sinkala, Winter;
Nkalashe, Tembinkosi F.

Publication type:

Article

On the Accuracy of Binomial Model for the Valuation of Standard Options with Dividend Yield in the Context of Black-Scholes Model.

Published in:

IAENG International Journal of Applied Mathematics, 2014, v. 44, n. 1, p. 33

By:

Nwozo, Chuma Raphael;
Fadugba, Sunday Emmanuel

Publication type:

Article

Analytical Solutions of a Continuous Arithmetic Asian Model for Option Pricing using Projected Differential Transform Method.

Published in:

Engineering Letters, 2019, v. 27, n. 2, p. 51

By:

EDEKI, Sunday O.;
UGBEBOR, Olabisi O.;
OGUNDILE, Paul O.

Publication type:

Article

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

Deep Calibration with Artificial Neural Network: A Performance Comparison on Option-Pricing Models.

Published in:

Journal of Financial Data Science, 2023, v. 5, n. 4, p. 100, doi. 10.3905/jfds.2023.1.140

By:

Young Shin Kim;
Hyangju Kim;
Jaehyung Choi

Publication type:

Article

A Macrofinance Model for Option Prices: A Story of Rare Economic Events.

Published in:

Management Science, 2023, v. 69, n. 9, p. 5543, doi. 10.1287/mnsc.2022.4587

By:

Hasler, Michael;
Jeanneret, Alexandre

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 Finite Difference-Spectral Method for Solving the European Call Option Black–Scholes Equation.

Published in:

Mathematical Modelling of Engineering Problems, 2021, v. 8, n. 2, p. 273, doi. 10.18280/mmep.080215

By:

Talaei, Younes;
Hosseinzadeh, Hasan;
Noeiaghdam, Samad

Publication type:

Article

Reconstruction of the Time-Dependent Volatility Function Using the Black–Scholes Model.

Published in:

Discrete Dynamics in Nature & Society, 2018, p. 1, doi. 10.1155/2018/3093708

By:

Jin, Yuzi;
Wang, Jian;
Kim, Sangkwon;
Heo, Youngjin;
Yoo, Changwoo;
Kim, Youngrock;
Kim, Junseok;
Jeong, Darae

Publication type:

Article

이기종 머신러닝기법을 활용한 KOSPI200 옵션변동성 예측.

Published in:

Journal of the Korea Institute of Information & Communication Engineering, 2022, v. 26, n. 10, p. 1423, doi. 10.6109/jkiice.2022.26.10.1423

By:

신소희;
오하영;
김장현

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

VOLATILITY IN OPTIONS FORMULAE FOR GENERAL STOCHASTIC DYNAMICS.

Published in:

Discrete & Continuous Dynamical Systems - Series B, 2014, v. 19, n. 2, p. 435, doi. 10.3934/dcdsb.2014.19.435

By:

HAMZA, KAIS;
KLEBANER, FIMA;
MAH, OLIVIA

Publication type:

Article

Neural network learning of Black-Scholes equation for option pricing.

Published in:

Neural Computing & Applications, 2025, v. 37, n. 4, p. 2357, doi. 10.1007/s00521-024-10761-7

By:

de Souza Santos, Daniel;
Ferreira, Tiago A. E.

Publication type:

Article

Option pricing with random risk aversion.

Published in:

Review of Quantitative Finance & Accounting, 2022, v. 58, n. 4, p. 1665, doi. 10.1007/s11156-021-01034-8

By:

Vitiello, Luiz;
Poon, Ser-Huang

Publication type:

Article

Tradeoff on corporate cash holdings: a theoretical and empirical analysis.

Published in:

Review of Quantitative Finance & Accounting, 2017, v. 49, n. 3, p. 727, doi. 10.1007/s11156-016-0606-9

By:

Lin, Hsuan-Chu;
Chiu, She-Chih

Publication type:

Article

Alternative methods to derive option pricing models: review and comparison.

Published in:

Review of Quantitative Finance & Accounting, 2016, v. 47, n. 2, p. 417, doi. 10.1007/s11156-015-0505-5

By:

Lee, Cheng-Few;
Chen, Yibing;
Lee, John

Publication type:

Article

Foreign exchange option pricing in the currency cycle with jump risks.

Published in:

Review of Quantitative Finance & Accounting, 2015, v. 44, n. 4, p. 755, doi. 10.1007/s11156-013-0425-1

By:

Lin, Chien-Hsiu;
Lin, Shih-Kuei;
Wu, An-Chi

Publication type:

Article

Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete‐time markets.

Published in:

Theoretical Economics, 2021, v. 16, n. 1, p. 25, doi. 10.3982/TE4034

By:

Kreps, David M.;
Schachermayer, Walter

Publication type:

Article

Financial volatility modeling with option-implied information and important macro-factors.

Published in:

Journal of the Operational Research Society, 2022, v. 73, n. 9, p. 2129, doi. 10.1080/01605682.2021.1966327

By:

Yfanti, Stavroula;
Karanasos, Menelaos

Publication type:

Article

Testing the Closed-Form Spread Option Pricing Formula Based on Gauss-Hermite Quadrature for a Jump-Diffusion Model.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2879, doi. 10.1007/s10614-023-10468-2

By:

Lin, Xenos Chang-Shuo;
Miao, Daniel Wei-Chung;
Chang, Emma En-Tze

Publication type:

Article

Option Valuation with Conditional Heteroskedastic Hidden Truncation Models.

Published in:

Computational Economics, 2024, v. 63, n. 6, p. 2585, doi. 10.1007/s10614-023-10480-6

By:

Belhachemi, Rachid

Publication type:

Article

Analytical and Numerical Solution for the Time Fractional Black-Scholes Model Under Jump-Diffusion.

Published in:

Computational Economics, 2024, v. 63, n. 5, p. 1853, doi. 10.1007/s10614-023-10386-3

By:

Mohapatra, Jugal;
Santra, Sudarshan;
Ramos, Higinio

Publication type:

Article

The Convergence Analysis of the Numerical Calculation to Price the Time-Fractional Black–Scholes Model.

Published in:

Computational Economics, 2023, v. 62, n. 4, p. 1845, doi. 10.1007/s10614-022-10322-x

By:

Mesgarani, H.;
Bakhshandeh, M.;
Aghdam, Y. Esmaeelzade;
Gómez-Aguilar, J. F.

Publication type:

Article