Search Results - subject:"Black–Scholes–Merton model"

Dynamic asset pricing in a unified Bachelier-Black-Scholes-Erton model

Lindquist, W. Brent; Račev, Svetlozar T.; Gnawali, Jagdish - In: Risks : open access journal 12 (2024) 9, pp. 1-24

We present a unified, market-complete model that integrates both Bachelier and Black- Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the possibility of negative security prices or...

Persistent link: https://www.econbiz.de/10015065971

Construction and hedging of equity index options portfolios

Wysocki, Maciej; Ślepaczuk, Robert - 2024

Persistent link: https://www.econbiz.de/10014634884

Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets

Kreps, David M.; Schachermayer, Walter - In: Theoretical Economics 16 (2021) 1, pp. 25-47

We examine the connection between discrete-time models of financial markets and the celebrated Black--Scholes--Merton (BSM) continuous-time model in which ''markets are complete." Suppose that (a) the probability law of a sequence of discrete-time models converges to the law of the BSM model and...

Persistent link: https://www.econbiz.de/10013189063

Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets

Kreps, David M.; Schachermayer, Walter - In: Theoretical economics : TE ; an open access journal in … 16 (2021) 1, pp. 25-47

Persistent link: https://www.econbiz.de/10012415568

Artificial Neural Networks Performance in WIG20 Index Options Pricing

Wysockia, Maciej; Ślepaczuk, Robert - 2020

Persistent link: https://www.econbiz.de/10012322176

Distance to default and probability of defaultdan experimental study

Dar, Amir Ahmad; Qadir, Shahid - In: Journal of Global Entrepreneurship Research 9 (2019) 32, pp. 1-12

The distance to default (DD) and the probability of default (PD) are the essential credit risks in the finance world. It provides an estimate of the likelihood that a borrower will be unable to meet its debt obligations. It is crucial to know which parameter effects more on DD and PD so that...

Persistent link: https://www.econbiz.de/10013328861

Distance to default and probability of defaultdan experimental study

Dar, Amir Ahmad; Qadir, Shahid - In: Journal of Global Entrepreneurship Research : JGER 9 (2019) 32, pp. 1-12

Persistent link: https://www.econbiz.de/10011989685

Larger than One Probabilities in Mathematical and Practical Finance

Burgin, Mark; Meissner, Gunter - In: Review of Economics & Finance 2 (2012) November, pp. 1-13

been negative several times in financial practice in the past. We show that applying inflated probabilities to the Black-Scholes-Merton … model implies negative interest rates. Hence with this extension, Caps and Floors with negative interest rate can be …

Persistent link: https://www.econbiz.de/10010927806

An investigation into the reasons for the pricing differences betweeen a warrant and an option on the same stock in the South African derivatives market

Jordaan, F. Y.; Van Rooyen, J. H. - 2010

instruments. The Black-Scholes-Merton model was the proposed model to be used. However, due to certain limitations the Modified … the two derivatives are the same in all respects, the premiums differ substantially when priced with the Black-Scholes-Merton … model. It is clear that pricing has to take place over the same calendar period due to market changes when comparing the …

Persistent link: https://www.econbiz.de/10009442277