The Modification of Black-Scholes Option Pricing Model Applied in Business Evaluation for High-tech Enterprise

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Numerical Solutions for Fractional Black-Scholes Option Pricing Equation

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.

متن کامل

Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process

In this article, we propose a numerical algorithm for computing price of discrete single and double barrier option under the emph{Black-Scholes} model. In virtue of some general transformations, the partial differential equations of option pricing in different monitoring dates are converted into simple diffusion equations. The present method is fast compared to alterna...

متن کامل

European option pricing of fractional Black-Scholes model with new Lagrange multipliers

In this paper, a new identification of the Lagrange multipliers by means of the Sumudu transform, is employed to  btain a quick and accurate solution to the fractional Black-Scholes equation with the initial condition for a European option pricing problem. Undoubtedly this model is the most well known model for pricing financial derivatives. The fractional derivatives is described in Caputo sen...

متن کامل

Binomial Option Pricing and Black-scholes

This paper aims to investigate the assumptions under which the binomial option pricing model converges to the Black-Scholes formula. The results are not original; the paper mostly follows the outline of Cox, Ross, and Rubenstein[1]. However, the convergence is treated in greater detail than I have found elsewhere in the literature. This exercise clarifies the assumptions behind the binomial mod...

متن کامل

Intraday Stock Return Distribution for Black-scholes Option Pricing

The availability of intraday stock/index return in the web facilitates the improvement of return volatility estimation over the traditional method that is based on inter-day return data. Truncated Levy process distribution is used to extract the intraday return distribution parameters. The calibration to the volatility for Black-Scholes option pricing is studied using the data from Levy-Gaussia...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Procedia Engineering

سال: 2011

ISSN: 1877-7058

DOI: 10.1016/j.proeng.2011.08.710