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Sirunya Thanompolkrang, Wannika Sawangtong and Panumart Sawangtong
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Vitor H. Carvalho and Raquel M. Gaspar
The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under certain...
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Winter Sinkala and Tembinkosi F. Nkalashe
Two equations are considered in this paper?the Black?Scholes equation and an equation that models the spatial dynamics of a brain tumor under some treatment regime. We shall call the latter equation the tumor equation. The Black?Scholes and tumor equatio...
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Kyung Jin Choi, Byungkwon Lim and Jaehwan Park
This study explored the option value embedded in a reverse mortgage in Korea through an empirical analysis, using the Black?Scholes option-pricing model. The value of a reverse mortgage is affected by the variation in house prices. However, older homeown...
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Bodo Herzog and Sufyan Osamah
This paper studies option pricing based on a reverse engineering (RE) approach. We utilize artificial intelligence in order to numerically compute the prices of options. The data consist of more than 5000 call- and put-options from the German stock marke...
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Laura Camila Roldán Martínez
Pág. 166 - 189
AbstractDownloadsReferencesHow to Cite
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Mostafa El Hachlouf,Mohammed El Haddad,Faris Hamza,Meriem Aboulethar
Pág. 561 - 564
The minimization of the portfolio of financial assets has a particular interest in the field of finance. In this context, several approaches have been proposed to contribute to the solution of this problem which Markowitz approach is the most popular. In...
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Özge Sezgin Alp
Pág. 70 - 84
In this study, the option pricing performance of the adjusted Black-Scholes model proposed by Corrado and Su (1996) and corrected by Brown and Robinson (2002), is investigated and compared with original Black Scholes pricing model for the Turkish derivat...
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Wajih Abbasi,Petr Hájek,Diana Ismailova,Saira Yessimzhanova,Zouhaier Ben Khelifa,Kholnazar Amonov
Pág. 1918 - 1929
This research focuses on the empirical comparative analysis of three models of option pricing: a) the implied volatility daily calibrated Black-Scholes model, b) the Cox and Ross univariate model with the volatility which is a deterministic and inverse f...
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Harish S. Bhat and Nitesh Kumar
The Markov Tree model is a discrete-time option pricing model that accounts for short-term memory of the underlying asset. In this work, we compare the empirical performance of the Markov Tree model against that of the Black-Scholes model and Heston?s st...
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