Black–Scholes model

Known as: Midas formula, Black-Scholes pricing formula, Midas (disambiguation) 
The Black–Scholes /ˌblæk ˈʃoʊlz/ or Black–Scholes–Merton model is a mathematical model of a financial market containing derivative investment… (More)
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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
  • Marek Kolman
  • 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
  • Zhefei He
  • 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
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
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
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
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
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
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
In a market with transaction costs, generally, there is no nontrivial portfolio that dominates a contingent claim. Therefore, in… (More)
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