Add to ORKGAbstract. We are concerned with a model for asset prices introduced by Koichiro Takaoka, which extends the well known Black-Scholes model. For the pricing of contingent claims, partial differential equation (PDE) is derived in a special case under the typical delta hedging strategy. We present an exact pricing formula by way of solving the equation. 1
This research article provides criticism and arguments why the canonical framework for derivatives p...
We develop a new approach to approximating asset prices in the context of continuous-time models. Fo...
Lectures given at the 3rd session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in ...
We are concerned with a model for asset prices introduced by Koichiro Takaoka, which extends the wel...
AbstractThe aim of this paper is to study the Black-Scholes option pricing model. We discuss some de...
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959...
We study the Black-Scholes equations for pricing options on stocks by splitting it into two simpler ...
We study the Black-Scholes equations for pricing options on stocks by splitting it into two simpler ...
The binomial asset-pricing model is used to price financial derivative securities. This text will be...
The present model describes a perfect hedging strategy for a large trader. In this case the hedging ...
The basic model of financial economics is the Samuelson model of geometric Brownian motion because o...
Abstract: Several techniques of fundamental physics like quantum mechanics, field theory and related...
In this note we provide a simple derivation of an explicit formula for the price of an option on a d...
Now a days mathematics can be used for many different purposes or topics, and every day new fields t...
M.Sc.The innovative work of Black and Scholes [1, 2] extended the mathematical understanding of the ...
This research article provides criticism and arguments why the canonical framework for derivatives p...
We develop a new approach to approximating asset prices in the context of continuous-time models. Fo...
Lectures given at the 3rd session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in ...
We are concerned with a model for asset prices introduced by Koichiro Takaoka, which extends the wel...
AbstractThe aim of this paper is to study the Black-Scholes option pricing model. We discuss some de...
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959...
We study the Black-Scholes equations for pricing options on stocks by splitting it into two simpler ...
We study the Black-Scholes equations for pricing options on stocks by splitting it into two simpler ...
The binomial asset-pricing model is used to price financial derivative securities. This text will be...
The present model describes a perfect hedging strategy for a large trader. In this case the hedging ...
The basic model of financial economics is the Samuelson model of geometric Brownian motion because o...
Abstract: Several techniques of fundamental physics like quantum mechanics, field theory and related...
In this note we provide a simple derivation of an explicit formula for the price of an option on a d...
Now a days mathematics can be used for many different purposes or topics, and every day new fields t...
M.Sc.The innovative work of Black and Scholes [1, 2] extended the mathematical understanding of the ...
This research article provides criticism and arguments why the canonical framework for derivatives p...
We develop a new approach to approximating asset prices in the context of continuous-time models. Fo...
Lectures given at the 3rd session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in ...