EUROPEAN OPTION PRICING MODELS: THE PRECURSORS OF THE BLACK–SCHOLES–MERTON THEORY AND HOLES DURING MARKET TURBULENCE

2009 ◽  
pp. 367-402
Keyword(s):  
Option Pricing ◽  
European Option ◽  
Pricing Models ◽  
European Option Pricing ◽  
Black Scholes ◽  
Market Turbulence

Comparison of European Option Pricing Models at Multiple Periods

2021 ◽  
pp. 149-166
Author(s):  
Amir Ahmad Dar ◽  
N. Anuradha ◽  
Ziadi Nihel
Keyword(s):  
Option Pricing ◽  
Graphical Representation ◽  
European Option ◽  
Pricing Models ◽  
European Option Pricing ◽  
Black Scholes Model ◽  
Time Period ◽  
Black Scholes ◽  
Option Pricing Model ◽  
Anderson Darling

The point of this chapter is to think about the correlation of two well-known European option pricing models – Black Scholes Model and Binomial Option Pricing Model. The above two models not statistically significant at one period. In this examination, it is shown how the above two European models are statistically significant when the time period increases. The independent paired t-test is utilized with the end goal to demonstrate that they are statistically significant to vary from one another at higher time period and the Anderson Darling test being used for the normality test. The Minitab and Excel programming has been utilized for graphical representation and the hypothesis testing.

scholarly journals Option Pricing Based on Modified Advection-Dispersion Equation: Stochastic Representation and Applications

2020 ◽  
Vol 2020 ◽  
pp. 1-8 ◽  
Author(s):  
Longjin Lv ◽  
Luna Wang
Keyword(s):  
Brownian Motion ◽  
Option Pricing ◽  
Dispersion Equation ◽  
Mean Square Displacement ◽  
Mean Square ◽  
European Option ◽  
Stochastic Representation ◽  
Pricing Models ◽  
Advection Dispersion ◽  
Black Scholes

In this paper, we first investigate the stochastic representation of the modified advection-dispersion equation, which is proved to be a subordinated stochastic process. Taking advantage of this result, we get the analytical solution and mean square displacement for the equation. Then, applying the subordinated Brownian motion into the option pricing problem, we obtain the closed-form pricing formula for the European option, when the underlying of the option contract is supposed to be driven by the subordinated geometric Brownian motion. At last, we compare the obtained option pricing models with the classical Black–Scholes ones.

Solution of time fractional Black-Scholes European option pricing equation arising in financial market

2016 ◽  
Vol 5 (4) ◽  
Author(s):  
A.S.V. Ravi Kanth ◽  
K. Aruna
Keyword(s):  
Boundary Conditions ◽  
Option Pricing ◽  
Financial Market ◽  
Differential Transform Method ◽  
European Option ◽  
Transform Method ◽  
European Option Pricing ◽  
Black Scholes ◽  
Differential Transform ◽  
Fractional Differential

AbstractIn this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation. The method finds the solution without any discretization, transformation, or restrictive assumptions with the use of appropriate initial or boundary conditions. The efficiency and exactitude of the proposed methods are tested by means of three examples.

On the Black-Scholes European Option Pricing Model Robustness and Generality

2008 ◽  
Author(s):  
Hellinton Hatsuo Takada ◽  
José de Oliveira Siqueira ◽  
Marcelo de Souza Lauretto ◽  
Carlos Alberto de Bragança Pereira ◽  
Julio Michael Stern
Keyword(s):  
Option Pricing ◽  
Pricing Model ◽  
European Option ◽  
European Option Pricing ◽  
Black Scholes ◽  
Option Pricing Model ◽  
Model Robustness
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