Tools
Sorted by:
Try your query at:
 |
 |
 |
 |
 |
 |
Results 1 - 10
of
12,821
Relativistic Black-Scholes model
"... Black-Scholes equation, after a certain coordinate transformation, is equivalent to the heat equation. On the other hand the relativistic extension of the latter, the telegraphers equation, can be derived from the Euclidean version of the Dirac equation. Therefore the relativistic extension of the B ..."
Abstract
- Add to MetaCart
of the Black-Scholes model follows from relativistic quantum mechanics quite naturally. We investigate this particular model for the case of European vanilla options. Due to the notion of locality incorporated in this way one finds that the volatility frown-like effect appears when comparing to the original
Contents What is Black-Scholes?.............................. 1 The Classical Black-Scholes Model....................... 1
, 2000
"... Some Useful Background Mathematics..................... 1 Assumptions in the Classical Black-Scholes Model............... 5 ..."
Abstract
- Add to MetaCart
Some Useful Background Mathematics..................... 1 Assumptions in the Classical Black-Scholes Model............... 5
Risk Premium Impact in the Perturbative Black Scholes Model
, 2008
"... We study the risk premium impact in the Perturbative Black Scholes model. The Perturbative Black Scholes model, developed by Scotti, is a subjective volatility model based on the classical Black Scholes one, where the volatility used by the trader is an estimation of the market one and contains meas ..."
Abstract
- Add to MetaCart
We study the risk premium impact in the Perturbative Black Scholes model. The Perturbative Black Scholes model, developed by Scotti, is a subjective volatility model based on the classical Black Scholes one, where the volatility used by the trader is an estimation of the market one and contains
The binomial Black-Scholes model and the greeks
- The Journal of Futures Markets
, 2002
"... This article returns to the choice of method for calculating option hedge ratios discussed by Pelsser and Vorst (1994). Where they demonstrated that numerical differentiation of a binomial model compared poorly to their design of an extended tree, this study shows that the Binomial Black–Scholes met ..."
Abstract
-
Cited by 3 (1 self)
- Add to MetaCart
This article returns to the choice of method for calculating option hedge ratios discussed by Pelsser and Vorst (1994). Where they demonstrated that numerical differentiation of a binomial model compared poorly to their design of an extended tree, this study shows that the Binomial Black–Scholes
in a Black-Scholes model with delay
, 2010
"... United Kingdom This paper studies the asymptotic behaviour of an affine stochastic functional differential equation modelling the evolution of the cumulative return of a risky security. In the model, the traders of the security determine their investment strategy by comparing short – and long–run mo ..."
Abstract
- Add to MetaCart
United Kingdom This paper studies the asymptotic behaviour of an affine stochastic functional differential equation modelling the evolution of the cumulative return of a risky security. In the model, the traders of the security determine their investment strategy by comparing short – and long
Degree of mispricing with the Black–Scholes model and nonparametric cures
- Ann. Econom. Finance
, 2003
"... Black-Scholes pricing errors are larger in the deeper out-of-the-money options relative to the near out-of-the-money options, and mispricing worsens with increased volatility. Our results indicate that the Black-Scholes model is not the proper pricing tool in high volatility situations especially fo ..."
Abstract
-
Cited by 3 (2 self)
- Add to MetaCart
Black-Scholes pricing errors are larger in the deeper out-of-the-money options relative to the near out-of-the-money options, and mispricing worsens with increased volatility. Our results indicate that the Black-Scholes model is not the proper pricing tool in high volatility situations especially
Local volatility changes in the Black-Scholes model
, 1999
"... In this paper we address a problem arising in risk management; namely the study of price variations of di#erent contingent claims in the Black-Scholes model due to anticipating future events. The method we propose to use is an extension of the classical Vega index, i.e. the price derivative with res ..."
Abstract
-
Cited by 1 (0 self)
- Add to MetaCart
In this paper we address a problem arising in risk management; namely the study of price variations of di#erent contingent claims in the Black-Scholes model due to anticipating future events. The method we propose to use is an extension of the classical Vega index, i.e. the price derivative
Results 1 - 10
of
12,821
