Relaxing the Black-Scholes Assumptions without Changing the Price Formula

2021 ◽  
Author(s):  
Moawia Alghalith
Keyword(s):  
Price Formula ◽  
Black Scholes

Pricing options on a mean-reverting asset by the analytical operator splitting method

2021 ◽  
pp. 2150002
Author(s):  
C. F. Lo ◽  
Y. W. He
Keyword(s):  
Operator Splitting ◽  
Splitting Method ◽  
Dynamical Symmetry ◽  
Call Option ◽  
Option Prices ◽  
Pricing Options ◽  
Operator Splitting Method ◽  
European Call Option ◽  
Price Formula ◽  
Black Scholes

In this paper, we propose an operator splitting method to valuate options on the inhomogeneous geometric Brownian motion. By exploiting the approximate dynamical symmetry of the pricing equation, we derive a simple closed-form approximate price formula for a European call option which resembles closely the Black–Scholes price formula for a European vanilla call option. Numerical tests show that the proposed method is able to provide very accurate estimates and tight bounds of the exact option prices. The method is very efficient and robust as well.

Reply to Mikheev's Comment on the Black-Scholes Pricing Problem

1995 ◽  
Vol 5 (2) ◽  
pp. 219-220 ◽  
Author(s):  
J. P. Bouchaud ◽  
D. Sornette
Keyword(s):  
Black Scholes

Die Black-Scholes-Optionspreisformel

2001 ◽  
Vol 30 (7) ◽  
pp. 355-361
Author(s):  
Lutz Hahnenstein ◽  
Sascha Wilkens ◽  
Klaus Röder
Keyword(s):  
Black Scholes

Black-Scholes-Formel

Controlling ◽  
2001 ◽  
Vol 13 (6) ◽  
pp. 315-318 ◽  
Author(s):  
Markus Schmitt
Keyword(s):  
Black Scholes

Der Hebel als Maßstab zur Beurteilung der Kurssteigerungschancen von Kauf- und Verkaufsoptionen sowie Optionsscheinen

1990 ◽  
Vol 2 (1) ◽  
Author(s):  
Johannes Wekker ◽  
Joachim Ulrich
Keyword(s):  
Black Scholes

Die Bedeutungvon Optionen in der Börsenlandschaft hat stark zugenommen. Derzeit werden mehr als hundert Optionsscheine und covered warrants gehandelt. Darüberhinaus gibt es den Optionshandel der traditionellen Börsen sowie der Deutschen Terminbörse (DTB). Die althergebrachten Kennziffern zur Beurteilung der Preiswürdigkeit und der Kurssteigerungschancen von Optionen, Aufgeld und Hebel, erfüllen ihre Funktionen nur sehr unvollkommen, ja in vielen Fällen führen sie in die Irre. Die seit 1973 in den USA entwickelte Optionspreistheorie („Black/Scholes-Formel“) ermöglicht exakte Kennziffern zur Beurteilung von Preiswürdigkeit und Kurssteigerungen von Optionen.

Research Trends in Derivatives and Risk Management since Black–Scholes

CFA Digest ◽  
1999 ◽  
Vol 29 (4) ◽  
pp. 89-91
Author(s):  
John H. Earl
Keyword(s):  
Risk Management ◽  
Research Trends ◽  
Black Scholes

The damped Crank–Nicolson time-marching scheme for the adaptive solution of the Black–Scholes equation

2015 ◽  
Vol 18 (4) ◽  
pp. 1-37 ◽  
Author(s):  
Christian Goll ◽  
Wolf Rannacher ◽  
Winnifried Woolner
Keyword(s):  
Black Scholes ◽  
Adaptive Solution ◽  
Time Marching ◽  
Marching Scheme ◽  
Crank Nicolson

Pricing American call options using the Black–Scholes equation with a nonlinear volatility function

2020 ◽  
Author(s):  
Maria do Rosario Grossinho ◽  
Yaser Fagan Kord ◽  
Daniel Sevcovic
Keyword(s):  
Call Options ◽  
Black Scholes ◽  
Volatility Function

Can the Black-Scholes Model Survive under Transaction Costs? An Affirmative Answer

2008 ◽  
Author(s):  
Michal Czerwonko ◽  
Stylianos Perrakis
Keyword(s):  
Transaction Costs ◽  
Affirmative Answer ◽  
Black Scholes Model ◽  
Black Scholes
Sign in / Sign up

Export Citation Format

Share Document