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Criticism of the Black-Scholes Model: But Why Is It Still Used? (The Answer Is Simpler than the Formula).
Yalincak, Orhun Hakan - 2005
The Black Scholes Model (BSM) is one of the most important concepts in modern financial theory both in terms of approach and applicability. The BSM is considered the standard model for valuing options; a model of price variation over time of financial instruments such as stocks that can, among...
Persistent link: https://www.econbiz.de/10015246864
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Does “Okun’s Law” state a Pi:1 ratio? Toward a harmonic interpretation of why Okun’s Law works
Albers, Scott; Albers, Andrew L. - 2013
In Albers & Albers (Spring, 2013) we demonstrated that the historic development of U.S. real GNP, 1869-present, may be structured in recurring 14-year periods. A steady-state rate of growth of 3.4969% is thereby calculated, generating an increase in real GNP proportional to the famous “Golden...
Persistent link: https://www.econbiz.de/10015236078
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Does “Okun’s Law” state a Pi:1 ratio? Toward a harmonic interpretation of why Okun’s Law works
Albers, Scott; Albers, Andrew L. - Volkswirtschaftliche Fakultät, … - 2013
In Albers & Albers (Spring, 2013) we demonstrated that the historic development of U.S. real GNP, 1869-present, may be structured in recurring 14-year periods. A steady-state rate of growth of 3.4969% is thereby calculated, generating an increase in real GNP proportional to the famous “Golden...
Persistent link: https://www.econbiz.de/10011260122
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Predicting crises: Five essays on the mathematic prediction of economic and social crises
Albers, Scott - 2012
This volume – Predicting Crisis: Five Essays on the Mathematic Prediction of Economic and Social Crises – is the first of three sets of essays. In this first set the economic and social history of the United States is shown to be a “system of movement,” i.e. a logical and mathematic...
Persistent link: https://www.econbiz.de/10015235169
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Predicting crises: Five essays on the mathematic prediction of economic and social crises
Albers, Scott - Volkswirtschaftliche Fakultät, … - 2012
This volume – Predicting Crisis: Five Essays on the Mathematic Prediction of Economic and Social Crises – is the first of three sets of essays. In this first set the economic and social history of the United States is shown to be a “system of movement,” i.e. a logical and mathematic...
Persistent link: https://www.econbiz.de/10011260672
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Complete Analytical Solution of the American Style Option Pricing with Constant and Stochastic Volatilities : A Probability Density Function Approach
Izmailov, Alexander - 2015
volatility (Heston model), enabling complete analytical resolution of all problems associated with American Style Options … volatility (Heston model) is expressive enough to enable derivation for the first time ever of corollary closed-form analytical … constant or stochastic volatility, will be below or above any set of thresholds at termination. Such assessments are absolutely …
Persistent link: https://www.econbiz.de/10013029750
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The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele - In: European journal of operational research : EJOR 293 (2021) 1, pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
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Option pricing under stochastic volatility models with latent volatility
Bégin, Jean-François; Godin, Frédéric - In: Quantitative finance 23 (2023) 7/8, pp. 1079-1097
Persistent link: https://www.econbiz.de/10014321665
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Steadfast, Greedy, or Fearful? Strategies for Responding to Extreme Market Volatility
White, James - 2020
March 2020 packed 2 ½ years of normal U.S. stock market volatility into one month, making it the most volatile month on … respond to such volatility? In this article we explore four possible approaches, two long-term and two short-term in nature …. We give particular focus to Volatility Targeting and Momentum strategies, discussing the investor behavior that might …
Persistent link: https://www.econbiz.de/10012832242
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Complete Analytical Solution of the Asian Option Pricing and Asian Option Value-at-Risk Problems : A Probability Density Function Approach
Izmailov, Alexander - 2015
•The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publication “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True...
Persistent link: https://www.econbiz.de/10013030852