The Black-Scholes-Merton Approach to Pricing Options
نویسنده
چکیده
منابع مشابه
Barrier options pricing of fractional version of the Black-Scholes model
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...
متن کاملA new approach to using the cubic B-spline functions to solve the Black-Scholes equation
Nowadays, options are common financial derivatives. For this reason, by increase of applications for these financial derivatives, the problem of options pricing is one of the most important economic issues. With the development of stochastic models, the need for randomly computational methods caused the generation of a new field called financial engineering. In the financial engineering the pre...
متن کاملEuropean Options Pricing Using Monte Carlo Simulation
European options can be priced using the analytical solution of the Black-Scholes-Merton differential equation with the appropriate boundary conditions. A different approach and the one commonly used in situations where no analytical solution is available is the Monte Carlo Simulation. We present the results of Monte Carlo simulations for pricing European options and we compare with the analyti...
متن کاملPricing European Barrier Options with Partial Differential Equations
Barrier options were first priced by Merton in 1973 using partial differential equation. In this work, we present a closed form formula for pricing European barrier option with a moving barrier that increases with time to expiration. We adopted a three-step approach which include; justifying that barrier options satisfy the Black-Scholes partial differential equation under certain conditions, p...
متن کاملApplication of Monte Carlo Simulation in the Assessment of European Call Options
In this paper, the pricing of a European call option on the underlying asset is performed by using a Monte Carlo method, one of the powerful simulation methods, where the price development of the asset is simulated and value of the claim is computed in terms of an expected value. The proposed approach, applied in Monte Carlo simulation, is based on the Black-Scholes equation which generally def...
متن کامل