Zobrazeno 1 - 10
of 323
pro vyhledávání: '"Black-Scholes formula"'
Autor:
Emilia Fraszka-Sobczyk
Publikováno v:
Acta Universitatis Lodziensis. Folia Oeconomica, Vol 2, Iss 363, Pp 1-24 (2023)
The article concerns the generalised Cox‑Ross‑Rubinstein (CRR) option pricing model with new formulas for changes in upper and lower stock prices. The formula for option pricing in this model, which is the Black‑Scholes type formula, and its as
Externí odkaz:
https://doaj.org/article/6bbb94977a674c5ca79d502ef7df15a7
Akademický článek
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Autor:
Roman V. Ivanov
Publikováno v:
Risks, Vol 11, Iss 6, p 111 (2023)
This paper discusses the generalized Black-Scholes-Merton model, where the volatility coefficient, the drift coefficient of stocks, and the interest rate are time-dependent deterministic functions. Together with it, we make the assumption that the vo
Externí odkaz:
https://doaj.org/article/869aa51c24d44ab9a224b670e48d1f3c
Autor:
Antonio Attalienti, Michele Bufalo
Publikováno v:
Opuscula Mathematica, Vol 40, Iss 4, Pp 451-473 (2020)
We present some formulations of the Cox-Ross-Rubinstein and Black-Scholes formulas for European options obtained through a suitable change of measure, which corresponds to a change of numèraire for the underlying price process. Among other consequen
Externí odkaz:
https://doaj.org/article/c4307230fc5d492481bfe97d884b964f
Autor:
Pergamenshchikov, S.
Publikováno v:
The Annals of Applied Probability, 2003 Aug 01. 13(3), 1099-1118.
Externí odkaz:
https://www.jstor.org/stable/1193236
Autor:
Whittle, Peter
Publikováno v:
Journal of Applied Probability, 2001 Jan 01. 38, 243-248.
Externí odkaz:
https://www.jstor.org/stable/3215883
Publikováno v:
Risks, Vol 9, Iss 8, p 147 (2021)
In this paper, we consider non-linear transformations of classical telegraph process. The main results consist of deriving a general partial differential Equation (PDE) for the probability density (pdf) of the transformed telegraph process, and then
Externí odkaz:
https://doaj.org/article/d7ed51305f3f42fd9398dc3ba407c3e0
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:
McEneaney, William M.
Publikováno v:
Mathematics of Operations Research, 1997 Feb 01. 22(1), 202-221.
Externí odkaz:
https://www.jstor.org/stable/3690146
Autor:
Karatzas, I., Kou, S. G.
Publikováno v:
The Annals of Applied Probability, 1996 May 01. 6(2), 321-369.
Externí odkaz:
https://www.jstor.org/stable/2245175