Works matching DE "BLACK-Scholes model"

Results: 450

Editor's introduction.

Published in:

Financial Innovation, 2025, v. 11, n. 1, p. 1, doi. 10.1186/s40854-024-00742-z

By:

Kou, Gang

Publication type:

Article

Hedging derivative securities with genetic programming.

Published in:

Intelligent Systems in Accounting, Finance & Management, 1999, v. 8, n. 4, p. 237, doi. 10.1002/(SICI)1099-1174(199912)8:4<237::AID-ISAF174>3.0.CO;2-J

By:

Chen, Shu‐Heng;
Lee, Wo‐Chiang;
Yeh, Chia‐Hsuan

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

Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function.

Published in:

Asia-Pacific Financial Markets, 2017, v. 24, n. 4, p. 291, doi. 10.1007/s10690-017-9234-1

By:

Grossinho, Maria;
Kord Faghan, Yaser;
Ševčovič, Daniel

Publication type:

Article

Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs.

Published in:

Asia-Pacific Financial Markets, 2016, v. 23, n. 2, p. 153, doi. 10.1007/s10690-016-9213-y

By:

Ševčovič, Daniel;
Žitňanská, Magdaléna

Publication type:

Article

A Comprehensive Python Tool for Interval Valued Bipolar Neutrosophic Sets and Operations.

Published in:

Journal of Fuzzy Extension & Applications (JFEA), 2025, v. 6, n. 1, p. 190, doi. 10.22105/jfea.2024.446338.1395

By:

Prakash, Pranesh Kumar S.;
John, Sofia Jennifer;
Chandran, Kalaivani;
Smarandache, Florentin

Publication type:

Article

Alternating direction implicit method for approximation solution of the HCIR model, including transaction costs in a Jump-Diffusion model.

Published in:

Computational Methods for Differential Equations, 2025, v. 13, n. 1, p. 339, doi. 10.22034/cmde.2024.58794.2490

By:

Mashayekhi, Elham;
Damirchi, Javad;
Yazdanian, Ahmad Reza

Publication type:

Article

Prolific new M-fractional soliton behaviors to the Schrödinger type Ivancevic option pricing model by two efficient techniques.

Published in:

Computational Methods for Differential Equations, 2024, v. 12, n. 2, p. 207, doi. 10.22034/CMDE.2023.56140.2345

By:

Ozkan, Yeşim Saglam;
Yasar, Emrullah

Publication type:

Article

An effcient adaptive wavelet method for pricing time-fractional American option variational inequality.

Published in:

Computational Methods for Differential Equations, 2024, v. 12, n. 1, p. 173, doi. 10.22034/CMDE.2023.54659.2277

By:

Pourbashash, Hosein;
Oshagh, Mahmood Khaksar-e;
Asadollahi, Somayyeh

Publication type:

Article

Analysis of a kernel-based method for some pricing financial options.

Published in:

Computational Methods for Differential Equations, 2024, v. 12, n. 1, p. 16, doi. 10.22034/cmde.2023.56236.2349

By:

Balootaki, Parisa Ahmadi;
Ghaziani, Reza Khoshsiar;
Fardi, Mojtaba;
Kajani, Majid Tavassoli

Publication type:

Article

Approximate price of the option under discretization by applying fractional quadratic interpolation.

Published in:

Computational Methods for Differential Equations, 2022, v. 10, n. 4, p. 1075, doi. 10.22034/cmde.2021.45656.1918

By:

Mesgarani, Hamid;
Adl, Adele;
Aghdam, Yones Esmaeelzade

Publication type:

Article

A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options.

Published in:

Computational Methods for Differential Equations, 2021, v. 9, n. 2, p. 523, doi. 10.22034/cmde.2020.36000.1623

By:

Rezaei Mirarkolaei, Maryam;
Reza Yazdanian, Ahmad;
Mahdi Mahmoudi, Seyed;
Ashra, Ali

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 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

Option Pricing Based on Modified Advection-Dispersion Equation: Stochastic Representation and Applications.

Published in:

Discrete Dynamics in Nature & Society, 2020, p. 1, doi. 10.1155/2020/7168571

By:

Lv, Longjin;
Wang, Luna

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

The Optimal Total Costs for Writing a Straddle.

Published in:

International Journal of Business & Economics, 2012, v. 11, n. 1, p. 13

By:

Hsinan Hsu;
Ho, Emily

Publication type:

Article

UNIVERSAL RISK BUDGETING.

Published in:

Annals of Financial Economics, 2021, v. 16, n. 3, p. 1, doi. 10.1142/S2010495221500147

By:

GARIVALTIS, ALEX

Publication type:

Article

PRICING OPTIONS UNDER STOCHASTIC INTEREST RATE AND THE FRASCA–FARINA PROCESS: A SIMPLE, EXPLICIT FORMULA.

Published in:

Annals of Financial Economics, 2021, v. 16, n. 1, p. N.PAG, doi. 10.1142/S2010495221500032

By:

ALGHALITH, MOAWIA

Publication type:

Article

EXPLICIT FORMULAE FOR PARAMETERS OF STOCHASTIC MODELS OF A DISCOUNTED EQUITY INDEX USING MAXIMUM LIKELIHOOD ESTIMATION WITH APPLICATIONS.

Published in:

Annals of Financial Economics, 2017, v. 12, n. 2, p. -1, doi. 10.1142/S2010495217500105

By:

FERGUSSON, K.

Publication type:

Article

STATISTICAL ARBITRAGE IN THE MULTI-ASSET BLACK-SCHOLES ECONOMY.

Published in:

Annals of Financial Economics, 2017, v. 12, n. 1, p. -1, doi. 10.1142/S201049521750004X

By:

GÖNCÜ, AHMET;
AKYILDIRIM, ERDINC

Publication type:

Article

BOUNDARY CONTROL OF THE BLACK-SCHOLES PDE FOR OPTION DYNAMICS STABILIZATION.

Published in:

Annals of Financial Economics, 2016, v. 11, n. 2, p. -1, doi. 10.1142/S2010495216500093

By:

RIGATOS, GERASIMOS G.

Publication type:

Article

ARE REAL OPTIONS "REAL"? ISOLATING UNCERTAINTY FROM RISK IN REAL OPTIONS ANALYSIS.

Published in:

Annals of Financial Economics, 2014, v. 9, n. 1, p. -1, doi. 10.1142/S2010495214500018

By:

SO, LEH-CHYAN

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

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

Ergodicity and First Passage Probability of Regime-Switching Geometric Brownian Motions.

Published in:

Chinese Annals of Mathematics, 2018, v. 39, n. 4, p. 739, doi. 10.1007/s11401-018-0093-5

By:

Shao, Jinghai

Publication type:

Article

Using forward Monte-Carlo simulation for the valuation of American barrier options.

Published in:

Annals of Operations Research, 2018, v. 264, n. 1/2, p. 339, doi. 10.1007/s10479-017-2639-4

By:

Miao, Daniel Wei-Chung;
Lee, Yung-Hsin;
Wang, Jr-Yan

Publication type:

Article

Option Pricing Models of Private Equity Valuation: A Comparative Analysis.

Published in:

IUP Journal of Applied Finance, 2014, v. 20, n. 3, p. 28

By:

Garg, Ashish Kumar;
Kumar, Kundan

Publication type:

Article

Lattice Boltzmann Method for the Generalized Black-Scholes Equation.

Published in:

Advances in Mathematical Physics, 2023, p. 1, doi. 10.1155/2023/1812518

By:

Wu, Fangfang;
Xu, Duoduo;
Tian, Ming;
Wang, Yingying

Publication type:

Article

PARAMETER ESTIMATION IN A BLACK-SCHOLES MODEL.

Published in:

Thermal Science, 2018, p. S117, doi. 10.2298/TSCI170915277B

By:

Bayram, Mustafa;
Orucova Buyukoz, Gulsen;
Partal, Tugcem

Publication type:

Article

Optionality in Australian Football League draftee contracts.

Published in:

PLoS ONE, 2023, v. 18, n. 9, p. 1, doi. 10.1371/journal.pone.0291439

By:

Chandrakumaran, Jemuel;
Larkin, Paul;
McIntosh, Sam;
Robertson, Sam

Publication type:

Article

İMKB'de İşlem Gören Aracı Kuruluş Varantları için Etkin Fiyatlama Modelinin Belirlenmesi.

Published in:

Ege Academic Review, 2014, v. 14, n. 1, p. 63

By:

KARAKUŞ, Rıfat;
ZOR, İsrafil

Publication type:

Article

Options Expected Returns: Variation by Moneyness and Maturity.

Published in:

Quarterly Journal of Finance & Accounting, 2011, v. 50, n. 1, p. 51

By:

McKeon, Ryan

Publication type:

Article

Weak Approximation for a Black-Scholes Type Regime Switching Model.

Published in:

Applied Mathematical Finance, 2024, v. 31, n. 1, p. 1, doi. 10.1080/1350486X.2024.2360464

By:

Kohatsu-Higa, Arturo;
Tanaka, Akihiro

Publication type:

Article

CLOSED FORM VALUATION OF VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CREDIT SPREADS.

Published in:

Economic Computation & Economic Cybernetics Studies & Research, 2019, v. 53, n. 4, p. 293, doi. 10.24818/18423264/53.4.19.18

By:

Zong-Gang MA;
Shi-Song XIAO

Publication type:

Article

PRICING VULNERABLE OPTIONS WITH CONSTANT ELASTICITY OF VARIANCE VERSUS STOCHASTIC ELASTICITY OF VARIANCE.

Published in:

Economic Computation & Economic Cybernetics Studies & Research, 2017, v. 51, n. 1, p. 233

By:

Min-Ku LEE;
Sung-Jin YANG;
Jeong-Hoon KIM

Publication type:

Article

The kind of silence: managing a reputation for voluntary disclosure in financial markets.

Published in:

Annals of Finance, 2023, v. 19, n. 4, p. 419, doi. 10.1007/s10436-023-00430-5

By:

Gietzmann, Miles B.;
Ostaszewski, Adam J.

Publication type:

Article

The value of expected return persistence.

Published in:

Annals of Finance, 2023, v. 19, n. 4, p. 449, doi. 10.1007/s10436-023-00428-z

By:

Schadner, Wolfgang;
Lang, Sebastian

Publication type:

Article

On modifications of the Bachelier model.

Published in:

Annals of Finance, 2021, v. 17, n. 2, p. 187, doi. 10.1007/s10436-020-00381-1

By:

Melnikov, Alexander;
Wan, Hongxi

Publication type:

Article

A simple efficient approximation to price basket stock options with volatility smile.

Published in:

Annals of Finance, 2017, v. 13, n. 1, p. 1, doi. 10.1007/s10436-017-0292-1

By:

Wu, Ping;
Elliott, Robert

Publication type:

Article

Momentos estocásticos de orden superior y la estimación de la volatilidad implícita: aplicación de la expansión de Edgeworth en el modelo Black-Scholes.

Published in:

Estudios Gerenciales, 2014, n. 133, p. 336, doi. 10.1016/j.estger.2014.01.021

By:

Silverio Milanesi, Gastón

Publication type:

Article

Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models.

Published in:

Computational Management Science, 2019, v. 16, n. 1/2, p. 217, doi. 10.1007/s10287-018-0304-2

By:

Goudenege, Ludovic;
Molent, Andrea;
Zanette, Antonino

Publication type:

Article

A Novel Option Pricing Approach Using the Black-Scholes Model and Grey Forecasting Method.

Published in:

Journal of Grey System, 2022, v. 34, n. 4, p. 28

By:

Xuemei Li;
Hang Wang;
Yun Cao

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