منابع مشابه
Parameter Estimation for Black-Scholes Equation
The Black-Scholes equation is a hallmark of mathematical finance, and any study of this growing field would be incomplete without having seen and understood the logic behind this equation. The initial focus of this paper will be to explore the arguments leading to the equation and the financial background necessary to understand the arguments. The problem of estimating the only parameter which ...
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 کاملMarkovian 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 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 کاملA non-linear Black-Scholes equation
The field of mathematical finance has gained significant attention since Black and Scholes (1973) published their Nobel Prize work in 1973. Using some simplifying economic assumptions, they derived a linear partial differential equation (PDE) of convection–diffusion type which can be applied to the pricing of options. The solution of the linear PDE can be obtained analytically. In this paper we...
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ژورنال
عنوان ژورنال: Thermal Science
سال: 2018
ISSN: 0354-9836,2334-7163
DOI: 10.2298/tsci170915277b