منابع مشابه
Markovian Black and Scholes
We generalize the classical binomial approach of the model of Black and Scholes to a Markov binomial approach. This leads to a new formula for the cost of an option.
متن کاملRevisiting Black-Scholes Equation
In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his continuous-time consumption-portfolio problem, deriving general equilibrium relationships among the securities in the asset market. In special case where the interest ...
متن کاملThe Black-Scholes Equation
The most important application of the Itô calculus, derived from the Itô lemma, in financial mathematics is the pricing of options. The most famous result in this area is the Black-Scholes formulae for pricing European vanilla call and put options. As a consequence of the formulae, both in theoretical and practical applications, Robert Merton and Myron Scholes were awarded the Nobel Prize for E...
متن کاملOn risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Résumé/Abstract: We consider a risk minimization problem in a continuous-time Markovian regimeswitching financial model modulated by a continuous-time, observable and finitestate Markov chain whose states represent different market regimes. We adopt a particular form of convex risk measure, which includes the entropic risk measure as a particular case, as a proxy of risk. The riskminimization p...
متن کاملOn Nonlinear Black-Scholes Equations
This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versions arising in option pricing theory.
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ژورنال
عنوان ژورنال: Publications de l'Institut Mathematique
سال: 2006
ISSN: 0350-1302
DOI: 10.2298/pim0693065o