Zobrazeno 1 - 10
of 25 663
pro vyhledávání: '"Black-Scholes model"'
Autor:
Marek Capiński, Ekkehard Kopp
The Black–Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of o
Autor:
Purwandari, Titi1 (AUTHOR) t.purwandari@unpad.ac.id, Hidayat, Yuyun1 (AUTHOR), Sukono2 (AUTHOR) sukono@unpad.ac.id, Kalfin3,4 (AUTHOR) kalfin17001@mail.unpad.ac.id, Ibrahim, Riza Andrian3 (AUTHOR) riza17005@mail.unpad.ac.id, Subiyanto5 (AUTHOR) subiyanto@unpad.ac.id
Publikováno v:
Risks. Jul2024, Vol. 12 Issue 7, p110. 21p.
Autor:
Lindgren, Jussi1 (AUTHOR) justicus1982@gmail.com
Publikováno v:
Risks. Feb2023, Vol. 11 Issue 2, p24. 5p.
Publikováno v:
International Journal of Management, Finance & Accounting. 2024, Vol. 5 Issue 2, p346-384. 39p.
Autor:
Pirjol, Dan
Publikováno v:
IJTAF vol 26, no. 2-3, 2350005, 2023
The short maturity limit $T\to 0$ for the implied volatility of an Asian option in the Black-Scholes model is determined by the large deviations property for the time-average of the geometric Brownian motion. In this note we derive the subleading $O(
Externí odkaz:
http://arxiv.org/abs/2407.05142
Autor:
Bueno-Guerrero, Alberto1 (AUTHOR) alberto.bueno@alu.uclm.es, Clark, Steven P.2 (AUTHOR) spclark@charlotte.edu
Publikováno v:
Mathematics (2227-7390). Jan2024, Vol. 12 Issue 1, p82. 39p.
Autor:
PIRJOL, DAN1 (AUTHOR) dpirjol@gmail.com
Publikováno v:
International Journal of Theoretical & Applied Finance. Mar-May2023, Vol. 26 Issue 2/3, p1-19. 19p.
Autor:
Huang, Xinhao1 (AUTHOR), Yu, Bo1 (AUTHOR) yusduyu@sdu.edu.cn
Publikováno v:
Fractal & Fractional. Aug2024, Vol. 8 Issue 8, p465. 18p.