# Black–Scholes model

## Papers overview

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2018

2018

- 2018

In this paper we generalize the classical multidimensional Black-Scholes model to the subdiffusive case. In the studied model the… (More)

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2014

2014

- 2014

Usually, in the Black-Scholes world, it is assumed that a stock follows a Geometric Brownian motion. The aim of our research is… (More)

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2011

2011

- Fourth International Conference on Business…
- 2011

The optimal stochastic control is a hot topic among recent problems in economics and finance. In fact, many economical and… (More)

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2010

2010

- 2010

This paper will derive the Black-Scholes pricing model of a European option by calculating the expected value of the option. We… (More)

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2010

2010

- 2010

In this paper we discuss subdiffusive mechanism for the description of some stock markets. We analyse the fractional Black… (More)

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2002

2002

- 2002

The theory of option pricing in Markov volatility models has been developed in recent years. However, an efficient method to… (More)

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Highly Cited

2002

Highly Cited

2002

- Management Science
- 2002

Brownian motion and normal distribution have been widely used in the Black–Scholes option-pricing framework to model the return… (More)

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2001

2001

- 2001

This article returns to the choice of method for calculating option hedge ratios discussed by Pelsser and Vorst (1994). Where… (More)

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Highly Cited

1998

Highly Cited

1998

- 1998

Consider an option on a stock whose volatility is unknown and stochastic. An agent assumes this volatility to be a specific… (More)

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Highly Cited

1998

Highly Cited

1998

- Finance and Stochastics
- 1998

In a market with transaction costs, generally, there is no nontrivial portfolio that dominates a contingent claim. Therefore, in… (More)

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