Works matching Black-Scholes model
Results: 1286
Employee stock options and the flawed use of the Black–Scholes option pricing model.
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- Journal of Corporate Accounting & Finance (Wiley), 2021, v. 32, n. 1, p. 7, doi. 10.1002/jcaf.22456
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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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A Study of Black–Scholes Model's Applicability in Indian Capital Markets.
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- Paradigm (09718907), 2020, v. 24, n. 1, p. 73, doi. 10.1177/0971890720914102
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On the Accuracy of Binomial Model for the Valuation of Standard Options with Dividend Yield in the Context of Black-Scholes Model.
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- IAENG International Journal of Applied Mathematics, 2014, v. 44, n. 1, p. 33
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Numerical analysis of time fractional Black–Scholes European option pricing model arising in financial market.
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- Computational & Applied Mathematics, 2019, v. 38, n. 4, p. N.PAG, doi. 10.1007/s40314-019-0957-7
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- Article
Black-Scholes 模型下美式 期权定价的神经网络算法.
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- Journal of Jilin University (Science Edition) / Jilin Daxue Xuebao (Lixue Ban), 2021, v. 59, n. 5, p. 1089, doi. 10.13413/j.cnki.jdxblxb.2021197
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Exact solutions via invariant approach for Black‐Scholes model with time‐dependent parameters.
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- Mathematical Methods in the Applied Sciences, 2018, v. 41, n. 12, p. 4417, doi. 10.1002/mma.4903
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A meshless multiquadric quasi-interpolation method for time fractional Black–Scholes model.
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- International Journal of Financial Engineering, 2023, v. 10, n. 2, p. 1, doi. 10.1142/S2424786323500081
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PARAMETER ESTIMATION IN A BLACK-SCHOLES MODEL.
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- Thermal Science, 2018, p. S117, doi. 10.2298/TSCI170915277B
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A tempered subdiffusive Black–Scholes model.
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- Fractional Calculus & Applied Analysis, 2024, v. 27, n. 4, p. 1800, doi. 10.1007/s13540-024-00276-2
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Numerical Solution of Time Fractional Black–Scholes Model Based on Legendre Wavelet Neural Network with Extreme Learning Machine.
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- Fractal & Fractional, 2022, v. 6, n. 7, p. 401, doi. 10.3390/fractalfract6070401
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Numerical Valuation of European and American Options under Fractional Black-Scholes Model.
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- Fractal & Fractional, 2022, v. 6, n. 3, p. 143, doi. 10.3390/fractalfract6030143
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- Article
A COMPARATIVE ANALYSIS OF THE BLACK-SCHOLES-MERTON MODEL AND THE HESTON STOCHASTIC VOLATILITY MODEL.
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- Ganit: Journal of Bangladesh Mathematical Society, 2019, n. 39, p. 127, doi. 10.3329/ganit.v39i0.44168
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Analytical and Numerical Solution for the Time Fractional Black-Scholes Model Under Jump-Diffusion.
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- Computational Economics, 2024, v. 63, n. 5, p. 1853, doi. 10.1007/s10614-023-10386-3
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Numerical Approximation to a Variable-Order Time-Fractional Black–Scholes Model with Applications in Option Pricing.
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- Computational Economics, 2023, v. 62, n. 3, p. 1155, doi. 10.1007/s10614-022-10295-x
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A Computational Method Based on the Moving Least-Squares Approach for Pricing Double Barrier Options in a Time-Fractional Black–Scholes Model.
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- Computational Economics, 2020, v. 55, n. 1, p. 119, doi. 10.1007/s10614-019-09880-4
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Exact solutions of a Black-Scholes model with time-dependent parameters by utilizing potential symmetries.
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- Discrete & Continuous Dynamical Systems - Series S, 2020, v. 13, n. 10, p. 2841, doi. 10.3934/dcdss.2020122
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Optimal algebra and power series solution of fractional Black-Scholes pricing model.
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- Soft Computing - A Fusion of Foundations, Methodologies & Applications, 2021, v. 25, n. 8, p. 6075, doi. 10.1007/s00500-021-05600-z
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Design and analysis of a high order computational technique for time‐fractional Black–Scholes model describing option pricing.
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- Mathematical Methods in the Applied Sciences, 2022, v. 45, n. 9, p. 5592, doi. 10.1002/mma.8130
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- Article
Inverse Multiquadric Function to Price Financial Options under the Fractional Black–Scholes Model.
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- Fractal & Fractional, 2022, v. 6, n. 10, p. N.PAG, doi. 10.3390/fractalfract6100599
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ON SOME GENERALIZATION OF THE COX-ROSS-RUBINSTEIN MODEL AND ITS ASYMPTOTICS OF BLACK-SCHOLES TYPE.
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- Bulletin de la Société des Sciences et des Lettres de Lodz, 2014, v. 64, n. 1, p. 25
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Analytical Solutions of the Black-Scholes Pricing Model for European Option Valuation via a Projected Differential Transformation Method.
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- Entropy, 2015, v. 17, n. 11, p. 7510, doi. 10.3390/e17117510
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Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps.
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- International Journal of Computer Mathematics, 2019, v. 96, n. 11, p. 2201, doi. 10.1080/00207160.2018.1542135
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- Article
Analytical Solution of the Time-fractional Order Black-Scholes Model for Stock Option Valuation on No Dividend Yield Basis.
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- IAENG International Journal of Applied Mathematics, 2017, v. 47, n. 4, p. 47
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- Article
Touchard wavelet technique for solving time-fractional Black–Scholes model.
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- Computational & Applied Mathematics, 2022, v. 41, n. 4, p. 1, doi. 10.1007/s40314-022-01853-y
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Pricing European Options under Fractional Black-Scholes Model with a Weak Payoff Function.
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- Computational Economics, 2018, v. 52, n. 2, p. 685, doi. 10.1007/s10614-017-9715-3
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Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps.
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- Mathematics (2227-7390), 2024, v. 12, n. 1, p. 82, doi. 10.3390/math12010082
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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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SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL.
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- International Journal of Theoretical & Applied Finance, 2023, v. 26, n. 2/3, p. 1, doi. 10.1142/S021902492350005X
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Quantum effects in an expanded Black–Scholes model.
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- European Physical Journal B: Condensed Matter, 2022, v. 95, n. 8, p. 1, doi. 10.1140/epjb/s10051-022-00402-0
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- Article
A Generalized Model for Pricing Financial Derivatives Consistent with Efficient Markets Hypothesis—A Refinement of the Black-Scholes Model.
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- Risks, 2023, v. 11, n. 2, p. 24, doi. 10.3390/risks11020024
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Fractional Black-Scholes Model and Technical Analysis of Stock Price.
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- Journal of Applied Mathematics, 2013, p. 1, doi. 10.1155/2013/631795
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- Article
Adaptive Wavelet Precise Integration Method for Nonlinear Black-Scholes Model Based on Variational Iteration Method.
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- Abstract & Applied Analysis, 2013, p. 1, doi. 10.1155/2013/735919
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Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models.
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- Computational Management Science, 2019, v. 16, n. 1/2, p. 217, doi. 10.1007/s10287-018-0304-2
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- Article
The Pricing and Hedging of an Attainable Claim in a Hybrid Black–Scholes Model under Regime Switching.
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- Discrete Dynamics in Nature & Society, 2021, p. 1, doi. 10.1155/2021/5592901
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On a Free Boundary Problem for American Options Under the Generalized Black–Scholes Model.
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- Mathematics (2227-7390), 2020, v. 8, n. 9, p. 1563, doi. 10.3390/math8091563
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- Article
On Comparative Analysis for the Black-Scholes Model in the Generalized Fractional Derivatives Sense via Jafari Transform.
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- Journal of Function Spaces, 2021, p. 1, doi. 10.1155/2021/7767848
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- Article
A Stable and Convergent Finite Difference Method for Fractional Black-Scholes Model of American Put Option Pricing.
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- Computational Economics, 2019, v. 53, n. 1, p. 191, doi. 10.1007/s10614-017-9734-0
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- Article
A Modified Black-Scholes-Merton Model for Option Pricing.
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- Mathematics (2227-7390), 2022, v. 10, n. 9, p. 1492, doi. 10.3390/math10091492
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- Article
SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK-SCHOLES MODEL.
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- International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 1, p. 1, doi. 10.1142/S0219024918500085
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- Article
Market Valuation and Risk Assessment of Indian Banks using Black-Scholes-Merton Model.
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- Finance India, 2016, v. 30, n. 1, p. 65
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- Article
The Convergence Analysis of the Numerical Calculation to Price the Time-Fractional Black–Scholes Model.
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- Computational Economics, 2023, v. 62, n. 4, p. 1845, doi. 10.1007/s10614-022-10322-x
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Accurate and Efficient Finite Difference Method for the Black–Scholes Model with No Far-Field Boundary Conditions.
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- Computational Economics, 2023, v. 61, n. 3, p. 1207, doi. 10.1007/s10614-022-10242-w
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On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model.
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- Risks, 2023, v. 11, n. 6, p. 111, doi. 10.3390/risks11060111
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- Article
Application of the Black–Scholes Financial Model to Support Adaptability as a Sustainability Strategy for Buildings: A Case Study of an Adaptable Campus Parking Garage.
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- Sustainability (2071-1050), 2024, v. 16, n. 7, p. 2610, doi. 10.3390/su16072610
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- Article
Momentos estocásticos de orden superior y la estimación de la volatilidad implícita: aplicación de la expansión de Edgeworth en el modelo Black-Scholes.
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- Estudios Gerenciales, 2014, n. 133, p. 336, doi. 10.1016/j.estger.2014.01.021
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Black-Scholes option pricing model: Comparison of h-convergence of the DG method with respect to boundary condition treatment.
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- ECON - Journal of Economics, Management & Business, 2014, v. 24, n. 3, p. 141, doi. 10.7327/econ.2014.03.03
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Estimación clásica y bayesiana de la volatilidad en el modelo de Black-Scholes.
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- Revista de Metodos Cuantitativos para la Economia y la Empresa, 2022, v. 34, p. 237, doi. 10.46661/revmetodoscuanteconempresa.5002
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- Article
Weak Approximation for a Black-Scholes Type Regime Switching Model.
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- Applied Mathematical Finance, 2024, v. 31, n. 1, p. 1, doi. 10.1080/1350486X.2024.2360464
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- Article
On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs.
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- Boundary Value Problems, 2015, v. 2015, p. 1, doi. 10.1186/s13661-015-0410-9
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- Article