Drawbacks and Limitations of Black-Scholes Model for Options Pricing
نویسندگان
چکیده
منابع مشابه
Some Drawbacks of Black-scholes
To provide one motivation for the development of ARCH models (next handout), we briefly discuss here some difficulties associated with the Black Scholes formula, which is widely used to calculate the price of an option. For example, consider a European call option for a stock. This is the right to buy a specific number of shares of a specific stock on a specific date in the future, at a specifi...
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In this paper two different methods are presented to approximate the solution of the fractional Black-Scholes equation for valuation of barrier option. Also, the two schemes need less computational work in comparison with the traditional methods. In this work, we propose a new generalization of the two-dimensional differential transform method and decomposition method that will extend the appli...
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In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.
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An important determinant of option prices is the elasticity of the pricing kernel used to price all claims in the economy. In this paper, we first show that for a given forward price of the underlying asset, option prices are higher when the elasticity of the pricing kernel is declining than when it is constant. We then investigate the implications of the elasticity of the pricing kernel for th...
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ژورنال
عنوان ژورنال: Journal of Financial Studies and Research
سال: 2018
ISSN: 2166-000X,2166-000X
DOI: 10.5171/2018.79814