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44.959  Articles
1 of 4.497 pages  |  10  records  |  more records»
In this study, the option pricing performance of the adjusted Black-Scholes model proposed by Corrado and Su (1996) and corrected by Brown and Robinson (2002), is investigated and compared with original Black Scholes pricing model for the Turkish derivati... see more

The main objectives of this paper are to incorporate modification in Black-Scholes option pricing model formula by adding some new variables on the basis of given assumption related to risk-free interest rate, and also shows the calculation process of new... see more

The objective of this paper is to present a methodology for deriving Black Scholes formulae via a simple lognormal distribution approach and introduce European capped non automatically exercise (NAE) call option pricing theory. DOI : http://dx.d... see more

Jakarta Stock Exchange Indonesia has started to trade Indonesian options at September 9th, 2004. An Indonesian option can be considered as an American style barrier option with immediate (forced) exercise if the price hits or crosses the barrier before ma... see more

In this paper, we demonstrate how to collect the data and compute the actual value of Black-Scholes Option Pricing Model call option prices for Coca-Cola and PepsiCo.The data for the current stock price and option price are taken from Yahoo Finance and th... see more

AbstractIn this paper we will compare Black-Scholes formula with a particular case of Heston formula, both solutions of the same problem.Keywords: Black-Scholes model, Heston model, comparing analytic solutions. 

The paper suggests the Black-Scholes type formulas for some options. The Asian options for several futures with depending components and uniform time steps are investigated.

The purpose of this research was to compare the accuracy of Black-Scholes Opt ionModel and GARCH opt ion models for Stock opt ion ut ilizing data f rom Ast ra, BCA, Indofoodand Telkom at the Indonesian Stock Exchange. The intraday stock return of Astra, B... see more

The problem of the research was about the loss suffered by some investors due to the price changes in the future. In order to maximize the profit or minimize the loss, the investors should estimate the option price; both call option and put option. This r... see more

1 of 4.497 pages  |  10  records  |  more records»