Zobrazeno 1 - 10
of 10 653
pro vyhledávání: '"Black-Scholes formula"'
Akademický článek
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Autor:
Orrell, David1 (AUTHOR) dorrell@systemsforecasting.com
Publikováno v:
Quantum Economics & Finance. Jun2024, Vol. 1 Issue 1, p82-91. 10p.
Akademický článek
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K zobrazení výsledku je třeba se přihlásit.
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Publikováno v:
Frontiers in Physics, Vol 11 (2023)
The option is an important derivative tool in financial market, and after decades of development, the option has emerged in various forms. This paper studies an exotic option with a proactive investment strategy. Compared with the classic option theo
Externí odkaz:
https://doaj.org/article/9753dde1a6e44fab86788d8d8cdd99cb
Autor:
Bhattacharya, Mihir1
Publikováno v:
Journal of Financial & Quantitative Analysis. Dec80, Vol. 15 Issue 5, p1081-1105. 25p.
Autor:
Aguilar, Jean-Philippe
We prove and test an efficient series representation for the European Black-Scholes call, which generalizes and refines previously known approximations, and works in every market configuration.
Comment: v1-2, 13 pages, some details added. arXiv
Comment: v1-2, 13 pages, some details added. arXiv
Externí odkaz:
http://arxiv.org/abs/1710.01141
Autor:
Zaremba Leszek
Publikováno v:
Foundations of Management, Vol 9, Iss 1, Pp 25-32 (2017)
In this paper, we present a 1-period model of the Polish financial market from the view point of KGHM, the Polish largest listed company that suffered huge declines in share prices from 125 PLN in August 2015 to 60 PLN in January 2015. Our goal is to
Externí odkaz:
https://doaj.org/article/d9708d9482b34eb39d0dde165eb7d338
Autor:
Garnier, Josselin, Solna, Knut
Empirical studies show that the volatility may exhibit correlations that decay as a fractional power of the time offset. The paper presents a rigorous analysis for the case when the stationary stochastic volatility model is constructed in terms of a
Externí odkaz:
http://arxiv.org/abs/1509.01175
Publikováno v:
Applied Stochastic Models in Business & Industry. Nov2014, Vol. 30 Issue 6, p753-765. 13p.