Works about BLACK-Scholes model

Results: 456

Racial Disparities in Soccer Player Share Prices: Evidence From an Online Gambling Platform.

Published in:

Bulletin of Economic Research, 2025, v. 77, n. 3, p. 295, doi. 10.1111/boer.12489

By:

Bajaj, Anuja;
Jena, Farai;
Reilly, Barry

Publication type:

Article

Anchoring-Adjusted Option Pricing Models.

Published in:

Journal of Behavioral Finance, 2019, v. 20, n. 2, p. 139, doi. 10.1080/15427560.2018.1492922

By:

Siddiqi, Hammad

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

On the discrepancy between the objective and risk neutral densities in the pricing of European options.

Published in:

Orion, 2019, v. 35, n. 1, p. 33, doi. 10.5784/35-1-647

By:

Visagie, I. J. H.;
Grobler, G. L.

Publication type:

Article

Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth.

Published in:

Methodology & Computing in Applied Probability, 2019, v. 21, n. 1, p. 331, doi. 10.1007/s11009-018-9650-3

By:

Bezborodov, Viktor;
Di Persio, Luca;
Mishura, Yuliya

Publication type:

Article

On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential Lévy Model.

Published in:

Methodology & Computing in Applied Probability, 2016, v. 18, n. 1, p. 107, doi. 10.1007/s11009-014-9399-2

By:

Momeya, Romuald;
Morales, Manuel

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

Black-Scholes 模型下美式期权定价的神经网络算法.

Published in:

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

By:

宋海明;
侯頔

Publication type:

Article

A GENERALIZED DERIVATION OF THE BLACK-SCHOLES IMPLIED VOLATILITY THROUGH HYPERBOLIC TANGENTS.

Published in:

Argumenta Oeconomica, 2022, v. 49, n. 2, p. 23, doi. 10.15611/aoe.2022.2.02

By:

Mininni, Michele;
Orlando, Giuseppe;
Taglialatela, Giovanni

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

Pricing of Arithmetic Average Asian Option by Combining Variance Reduction and Quasi-Monte Carlo Method.

Published in:

Mathematics (2227-7390), 2023, v. 11, n. 3, p. 594, doi. 10.3390/math11030594

By:

Xu, Lingling;
Zhang, Hongjie;
Wang, Fu Lee

Publication type:

Article

Analytical Investigation of Some Time-Fractional Black–Scholes Models by the Aboodh Residual Power Series Method.

Published in:

Mathematics (2227-7390), 2023, v. 11, n. 2, p. 276, doi. 10.3390/math11020276

By:

Liaqat, Muhammad Imran;
Akgül, Ali;
Abu-Zinadah, Hanaa

Publication type:

Article

Parameter Estimation for a Fractional Black–Scholes Model with Jumps from Discrete Time Observations.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 22, p. 4190, doi. 10.3390/math10224190

By:

Thony, John-Fritz;
Vaillant, Jean

Publication type:

Article

Convergence of Inverse Volatility Problem Based on Degenerate Parabolic Equation.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 15, p. 2608, doi. 10.3390/math10152608

By:

Yimamu, Yilihamujiang;
Deng, Zuicha

Publication type:

Article

A Modified Black-Scholes-Merton Model for Option Pricing.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 9, p. 1492, doi. 10.3390/math10091492

By:

Morales-Bañuelos, Paula;
Muriel, Nelson;
Fernández-Anaya, Guillermo

Publication type:

Article

Coupling Technique of Haar Wavelet Transform and Variational Iteration Method for a Nonlinear Option Pricing Model.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 14, p. 1642, doi. 10.3390/math9141642

By:

Xing, Ruyi;
Liu, Meng;
Meng, Kexin;
Mei, Shuli

Publication type:

Article

Multidimensional Linear and Nonlinear Partial Integro-Differential Equation in Bessel Potential Spaces with Applications in Option Pricing.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 13, p. 1463, doi. 10.3390/math9131463

By:

Ševčovič, Daniel;
Udeani, Cyril Izuchukwu

Publication type:

Article

The Lie Algebraic Approach for Determining Pricing for Trade Account Options.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 3, p. 279, doi. 10.3390/math9030279

By:

Tseng, Shih-Hsien;
Nguyen, Tien Son;
Wang, Ruei-Ci;
Chalikias, Miltiadis

Publication type:

Article

Modified Mean-Variance Risk Measures for Long-Term Portfolios.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 2, p. 111, doi. 10.3390/math9020111

By:

Park, Hyungbin

Publication type:

Article

On a Free Boundary Problem for American Options Under the Generalized Black–Scholes Model.

Published in:

Mathematics (2227-7390), 2020, v. 8, n. 9, p. 1563, doi. 10.3390/math8091563

By:

Lee, Jung-Kyung

Publication type:

Article

A New Approach for the Black–Scholes Model with Linear and Nonlinear Volatilities.

Published in:

Mathematics (2227-7390), 2019, v. 7, n. 8, p. 760, doi. 10.3390/math7080760

By:

Gulen, Seda;
Popescu, Catalin;
Sari, Murat

Publication type:

Article

Application of the Laplace Homotopy Perturbation Method to the Black–Scholes Model Based on a European Put Option with Two Assets.

Published in:

Mathematics (2227-7390), 2019, v. 7, n. 4, p. 310, doi. 10.3390/math7040310

By:

Prathumwan, Din;
Trachoo, Kamonchat

Publication type:

Article

The Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense.

Published in:

Mathematics (2227-7390), 2018, v. 6, n. 8, p. 129, doi. 10.3390/math6080129

By:

Sawangtong, Panumart;
Trachoo, Kamonchat;
Sawangtong, Wannika;
Wiwattanapataphee, Benchawan

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

Quantum effects in an expanded Black–Scholes model.

Published in:

European Physical Journal B: Condensed Matter, 2022, v. 95, n. 8, p. 1, doi. 10.1140/epjb/s10051-022-00402-0

By:

Bhatnagar, Anantya;
Vvedensky, Dimitri D.

Publication type:

Article

REEL OPSİYONLARIN YATIRIM PROJELERİ ANALİZLERİNDE KULLANIMI.

Published in:

Journal of Financial Politic & Economic Reviews / Finans Politik & Ekonomik Yorumlar, 2019, v. 56, n. 648, p. 83

By:

BİLİR, Hakan

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

Discrete Delta-hedging : Indian Market.

Published in:

SCMS Journal of Indian Management, 2014, v. 11, n. 4, p. 5

By:

Nilakantan, N. S.;
talwar, Shalini

Publication type:

Article

Analysing the impact of the biomass sector on economic growth in Romania using econometric modelling.

Published in:

Management & Marketing, 2024, v. 19, n. 3, p. 520, doi. 10.2478/mmcks-2024-0023

By:

Busu, Cristian;
Busu, Mihail;
Goia, Simona;
Nedelcu, Catalina Alexandra

Publication type:

Article

Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms.

Published in:

European Journal of Applied Mathematics, 2017, v. 28, n. 5, p. 789, doi. 10.1017/S0956792516000516

By:

LI, T. RAY;
RODRIGO, MARIANITO R.

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

On the White Noise of the Price of Stocks related to the Option Prices from the Black-Scholes Equation.

Published in:

IAENG International Journal of Applied Mathematics, 2018, v. 48, n. 2, p. 128

By:

Kananthai, A.;
Kraiwiradechachai, T.

Publication type:

Article

Analytical Solution of the Time-fractional Order Black-Scholes Model for Stock Option Valuation on No Dividend Yield Basis.

Published in:

IAENG International Journal of Applied Mathematics, 2017, v. 47, n. 4, p. 47

By:

EDEKI, Sunday O.;
UGBEBOR, Olabisi O.;
OWOLOKO, Enahoro A.

Publication type:

Article

On the Parametric Interest of the Option Price from the Black-Scholes Equation.

Published in:

IAENG International Journal of Applied Mathematics, 2016, v. 46, n. 1, p. 87

By:

Kananthai, Amnuay;
Suksern, Supaporn

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

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

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

Novel ANN Method for Solving Ordinary and Time-Fractional Black–Scholes Equation.

Published in:

Complexity, 2021, p. 1, doi. 10.1155/2021/5511396

By:

Bajalan, Saeed;
Bajalan, Nastaran

Publication type:

Article

Novel ANN Method for Solving Ordinary and Time-Fractional Black–Scholes Equation.

Published in:

Complexity, 2021, p. 1, doi. 10.1155/2021/5511396

By:

Bajalan, Saeed;
Bajalan, Nastaran

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

European Option Pricing of Fractional Black-Scholes Model Using Sumudu Transform and its Derivatives.

Published in:

General Letters in Mathematics (GLM), 2016, v. 1, n. 3, p. 74

By:

Khan, Waseem Asghar;
Ansari, Faryal Aijaz

Publication type:

Article

ANALYTICAL SOLUTION OF TIME FRACTIONAL BLACK-SCHOLES EQUATION WITH TWO ASSETS THROUGH NEW SUMUDU TRANSFORM ITERATIVE METHOD.

Published in:

Gulf Journal of Mathematics, 2023, v. 15, n. 1, p. 42, doi. 10.56947/gjom.v15i1.1060

By:

AHMAD, MANZOOR;
MISHRA, RAJSHREE;
JAIN, RENU

Publication type:

Article

A Comparative Analysis of Crank-Nicolson Scheme between Finite Volume Method and Finite Difference Method for Pricing European Option.

Published in:

Ganit: Journal of Bangladesh Mathematical Society, 2022, v. 42, n. 2, p. 1, doi. 10.3329/ganit.v42i2.68017

By:

Sajib, Mohammad Abul Heyath;
Hossain, A. B. M. Shahadat;
Sudha, Sushoma

Publication type:

Article

Numerical Approximations of a Nonlinear Volatility Model with European Options.

Published in:

Ganit: Journal of Bangladesh Mathematical Society, 2022, v. 42, n. 1, p. 50, doi. 10.3329/ganit.v42i1.61000

By:

Khan, Jakobin Alam;
Tushar, Asir Intesar

Publication type:

Article

Pricing Exotic Options Using Some Lattice Procedures.

Published in:

Ganit: Journal of Bangladesh Mathematical Society, 2021, v. 41, n. 1, p. 26, doi. 10.3329/ganit.v41i1.55024

By:

Jumana, Sadia Anjum;
Shahadat Hossain, A. B. M.

Publication type:

Article

A COMPARATIVE ANALYSIS OF THE BLACK-SCHOLES-MERTON MODEL AND THE HESTON STOCHASTIC VOLATILITY MODEL.

Published in:

Ganit: Journal of Bangladesh Mathematical Society, 2019, n. 39, p. 127, doi. 10.3329/ganit.v39i0.44168

By:

Suki, Tahmid Tamrin;
Shahadat Hossain, A. B. M.

Publication type:

Article

A Comparative Study between Implicit and Crank-Nicolson Finite Difference Method for Option Pricing.

Published in:

Ganit: Journal of Bangladesh Mathematical Society, 2020, n. 40, p. 13, doi. 10.3329/ganit.v40i1.48192

By:

Debnath, Tanmoy Kumar;
Hossain, A. B. M. Shahadat

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