Add to ORKGIn this paper, the classical Black-Scholes option pricing model is visited. We present a modified version of the Black-Scholes model via the application of the constant elasticity of variance model (CEVM); in this case, the volatility of the stock price is shown to be a non-constant function unlike the assumption of the classical Black-Scholes model
The Black-Scholes model is a widely used method for pricing European-style options in a straightforw...
Statistical analysis on various stocks reveals long range dependence behavior of the stock prices th...
This thesis examines the compatibility between the Black-Scholes formula and stock price models with...
In this paper, we propose a pricing model for stock option valuation. The model is derived from the...
In this paper, we consider some conditions that transform the classical Black-Scholes Model for stoc...
This paper seeks to measure the ability of volatility innovations to improve options-pricing within ...
Black-Scholes is a pricing model applied as the reference in the derivation of fair price—or the the...
AbstractThe famous Black-Scholes option pricing model is a mathematical description of financial mar...
The paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the unde...
Because volatility of the underlying asset price is a critical factor affecting option prices and he...
The Nobel Prize-winning the Black-Scholes Model for stock option pricing has a simple formula to cal...
The validity of the classic Black-Scholes option pricing formula dcpcnds on the capability of invest...
In this work, the classical Black-Scholes model for stock option valuation on the basis of some sto...
URL: http://www-spht.cea.fr/articles/s04/017International audienceClosed form option pricing formula...
In this paper we recover the Black-Scholes and local volatility pricing engines in the presence of a...
The Black-Scholes model is a widely used method for pricing European-style options in a straightforw...
Statistical analysis on various stocks reveals long range dependence behavior of the stock prices th...
This thesis examines the compatibility between the Black-Scholes formula and stock price models with...
In this paper, we propose a pricing model for stock option valuation. The model is derived from the...
In this paper, we consider some conditions that transform the classical Black-Scholes Model for stoc...
This paper seeks to measure the ability of volatility innovations to improve options-pricing within ...
Black-Scholes is a pricing model applied as the reference in the derivation of fair price—or the the...
AbstractThe famous Black-Scholes option pricing model is a mathematical description of financial mar...
The paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the unde...
Because volatility of the underlying asset price is a critical factor affecting option prices and he...
The Nobel Prize-winning the Black-Scholes Model for stock option pricing has a simple formula to cal...
The validity of the classic Black-Scholes option pricing formula dcpcnds on the capability of invest...
In this work, the classical Black-Scholes model for stock option valuation on the basis of some sto...
URL: http://www-spht.cea.fr/articles/s04/017International audienceClosed form option pricing formula...
In this paper we recover the Black-Scholes and local volatility pricing engines in the presence of a...
The Black-Scholes model is a widely used method for pricing European-style options in a straightforw...
Statistical analysis on various stocks reveals long range dependence behavior of the stock prices th...
This thesis examines the compatibility between the Black-Scholes formula and stock price models with...