Keyword: Black-Scholes

Found 12 papers in total
Are we using the wrong letters? An analysis of executive stock option Greeks
Are we using the wrong letters? An analysis of executive stock option Greeks
2014,
Greek letters, in particular delta and vega based on the Black–Scholes model...
Fitted finite volume method for a generalized Black–Scholes equation transformed on finite interval
Fitted finite volume method for a generalized Black–Scholes equation transformed on finite interval
2014,
A generalized Black–Scholes equation is considered on the semi‐axis. It...
Option Pricing Under a Mixed‐Exponential Jump Diffusion Model
Option Pricing Under a Mixed‐Exponential Jump Diffusion Model
2011,
This paper aims to extend the analytical tractability of the Black–Scholes model...
Pricing cliquet options by tree methods
Pricing cliquet options by tree methods
2011,
This paper focuses on the problem of pricing the cliquet options which provide a...
Continuous time portfolio selection under conditional capital at risk
Continuous time portfolio selection under conditional capital at risk
2010,
Portfolio optimization with respect to different risk measures is of interest to both...
Optimal investment strategy to minimize occupation time
Optimal investment strategy to minimize occupation time
2010,
We find the optimal investment strategy to minimize the expected time that an...
Pricing American options when asset prices jump
Pricing American options when asset prices jump
2010,
We present a transformation that helps price American options on assets that are...
American option pricing under stochastic volatility: an empirical evaluation
American option pricing under stochastic volatility: an empirical evaluation
2010,
Over the past few years, model complexity in quantitative finance has increased...
Computing option pricing models under transaction costs
Computing option pricing models under transaction costs
2010,
This paper deals with the Barles–Soner model arising in the hedging of...
A Laplace transform finite difference method for the Black-Scholes equation
A Laplace transform finite difference method for the Black-Scholes equation
2010,
An efficient numerical method for solving the Black-Scholes equation is developed....
Pensions modelling
Pensions modelling
2003,
Valuable insights into the problem of how to fund defined benefit pension schemes can...
Arbitrage in a discrete version of the Wick-fractional Black–Scholes market
Arbitrage in a discrete version of the Wick-fractional Black–Scholes market
2004,
We consider binary market models based on the discrete Wick product instead of the...
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