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云南财经大学金融学院金融工程课件第5章 期权定价的Black-Scholes-Merton模型
云南财经大学金融学院 金融工程 课件 第5章 期权定价的Black-Scholes-Merton模型
2016/1/11
云南财经大学金融学院金融工程课件第5章 期权定价的Black-Scholes-Merton模型。
On the fractional Black-Scholes market with transaction costs
fractional Brownian motion proportional transaction costs
2010/10/20
We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance $n^{-1}...
Two stock options at the races: Black-Scholes forecasts
stock options races Black-Scholes forecasts
2010/10/20
Suppose one buys two very similar stocks and is curious about how much, after some time T, one of them will contribute to the overall asset, expecting, of course, that it should be around 1/2 of the s...
Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
Black--Scholes American Options
2010/4/28
We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quantities for similar Ame...
Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model
Volatility smile Black-Sholes model no-arbitrage conditions
2010/10/19
Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the stri...
Path integral approach to Asian options in the Black-Scholes model
Path integral Asian options Black-Scholes model
2010/11/1
We derive a closed-form solution for the price of an average price as well as an average strike
geometric Asian option, by making use of the path integral formulation. Our results are compared to a n...