Relevant bibliographies by topics / Black and Scholes options pricing model

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  2. Dissertations / Theses
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Academic literature on the topic 'Black and Scholes options pricing model'

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Published: 3 June 2025
Last updated: 31 July 2025

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Journal articles on the topic "Black and Scholes options pricing model"

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Li, Chenwei. "A Study of Option Pricing Models with Market Price Adjustments: Empirical Analysis Beyond the Black-Scholes Model." Advances in Economics, Management and Political Sciences 137, no. 1 (2024): 94–98. https://doi.org/10.54254/2754-1169/2024.18702.

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In 1973, Fischer Black and Myron Scholes unveiled the Black-Scholes option pricing model, a groundbreaking contribution that profoundly influenced the domain of option pricing theory. The introduction of the Black-Scholes pricing formula has garnered substantial acclaim across both academic and industrial spheres, leading to its widespread dissemination and application. This formula not only underscores its vital significance but also exemplifies its unique position as a cornerstone of financial theory, reshaping how options are valued and traded in markets worldwide. However, in the real fina
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Kim, Sol. "The Best Option Pricing Model for KOSPI 200 Weekly Options." Korean Journal of Financial Studies 51, no. 5 (2022): 499–521. http://dx.doi.org/10.26845/kjfs.2022.10.51.5.499.

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This study finds the best option pricing model for KOSPI 200 weekly options. It examines the in-sample pricing, out-of-sample pricing and hedging performances of the short-term options with a maximum maturity of seven days or less, which have not been analyzed in previous studies. The Black and Scholes (1973) model, Ad Hoc Black-Scholes model, and stochastic volatility and jumps models are compared. As a result, one of the Ad Hoc BlackScholes models, the absolute smile model using the strike price as an independent variable shows the best performance. However, its performance is not significan
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Rani,, Dr Pushpa. "Analysis of Option Prices Using Black Scholes Model." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 05 (2024): 1–5. http://dx.doi.org/10.55041/ijsrem34488.

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A mathematical formula used in finance to calculate the theoretical price of an option and ascertain its option premium is known as the Black Scholes option pricing model, which aids option traders in making informed decisions. This article estimates the option premium of various call and put options using the Black Scholes Model. The three distinct option chains chosen for this essay are all Mid-Cap companies that are listed on the Indian National Stock Exchange. The companies are Suzlon Energy, Kalyan jewellers India, and Exide Industries Ltd. The analysis demonstrates that the options are e
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Chauhan, Arun, and Ravi Gor. "COMPARISON OF THREE OPTION PRICING MODELS FOR INDIAN OPTIONS MARKET." International Journal of Engineering Science Technologies 5, no. 4 (2021): 54–64. http://dx.doi.org/10.29121/ijoest.v5.i4.2021.203.

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 Black-Scholes option pricing model is used to decide theoretical price of different Options contracts in many stock markets in the world. In can find many generalizations of BS model by modifying some assumptions of classical BS model. In this paper we compared two such modified Black-Scholes models with classical Black-Scholes model only for Indian option contracts. We have selected stock options form 5 different sectors of Indian stock market. Then we have found call and put option prices for 22 stocks listed on National Stock Exchange by all three option pricing models. Finall
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Wu, Yawei. "Options Pricing Comparison between the Black-Scholes Model and the Binomial Tree Model: A Case Study of American Equity Option and European-style Index Option." BCP Business & Management 32 (November 22, 2022): 168–77. http://dx.doi.org/10.54691/bcpbm.v32i.2885.

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In recent years, quantitative researchers used a wide range of models to price options, from the Black-Scholes model to more complex models such as the Heston model. This paper aims to analyze the effectiveness of the Black-Scholes model and the Binomial Tree model by using them to price Berkshire Hathaway’s equity options and European-style S&P 100 index options. The method used in this paper is gathering the market data of the options first. Second, using the data gathered to price the options by applying the Black-Scholes and Binomial Tree models. Third, comparing the derived theoretica
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SHOKROLLAHI, FOAD. "THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE." International Journal of Theoretical and Applied Finance 23, no. 04 (2020): 2050022. http://dx.doi.org/10.1142/s0219024920500223.

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In this paper, we propose an extension of the Merton model. We apply the subdiffusive mechanism to analyze European option in a fractional Black–Scholes environment, when the short rate follows the subdiffusive fractional Black–Scholes model. We derive a pricing formula for call and put options and discuss the corresponding fractional Black–Scholes equation. We present some features of our model pricing model for the cases of [Formula: see text] and [Formula: see text].
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Blake, D. "Option pricing models." Journal of the Institute of Actuaries 116, no. 3 (1989): 537–58. http://dx.doi.org/10.1017/s0020268100036696.

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S., Dakurah, Odoi F.N.D., Kongyir B.K., Ampaw-Asiedu M.O., and K. Dedu V. "A Model for Pricing Insurance Using Options." Journal of Research in Business, Economics and Management 10, no. 3 (2018): 1971–88. https://doi.org/10.5281/zenodo.3956116.

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Traditional Expected Value and Bayesian Methods of pricing insurance products are not robust both under minimal data and frequent portfolio adjustments. Deriving a partial di_erential equation for the price of a an insurance put, parallel is struck with the reverse Black Scholes partial di_erential equation for pricing call options. With appropriate parameter translation of the Black Scholes model, a Pure Premium valuation function that is an improvement over the traditional methods of pricing insurance products results. Its robustness is illustrated with the pricing of a third party insurance
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Alp, Özge Sezgin. "The Performance of Skewness and Kurtosis Adjusted Option Pricing Model in Emerging Markets." International Journal of Finance & Banking Studies (2147-4486) 5, no. 3 (2016): 70–84. http://dx.doi.org/10.20525/ijfbs.v5i3.285.

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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 derivatives market. The data consist of the European options written on BIST 30 index extends from January 02, 2015 to April 24, 2015 for given exercise prices with maturity April 30, 2015. In this period, the strike prices are ranging from 86 to 124. To compare the models, the implied parameters are derived by minimizing the sum of squared deviations
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BUCKLEY, JAMES J., and ESFANDIAR ESLAMI. "PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS." New Mathematics and Natural Computation 04, no. 02 (2008): 165–76. http://dx.doi.org/10.1142/s1793005708001008.

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We use the basic Black-Scholes equation for pricing European stock options but we allow some of the parameters in the model to be uncertain and we model this uncertainty using fuzzy numbers. We compute the fuzzy number for the call value of option with and without uncertain dividends. This fuzzy set displays the uncertainty in the option's value due to the uncertainty in the input values to the model. We also correct an error in a recent paper which also fuzzified the Black-Scholes equation.
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Dissertations / Theses on the topic "Black and Scholes options pricing model"

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Hassan, Shakill. "The Black-Scholes model and the pricing of stock options in South Africa." Master's thesis, University of Cape Town, 1999. http://hdl.handle.net/11427/14302.

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Bibliography: leaves 52-54.<br>Option Pricing Theory (OPT), along with the Capital Asset Pricing Model, the Theory of Capital Structure, and the Efficient Markets Hypothesis, form one of the pillars of modem finance theory. Central to OPT is the Black-Scholes model, the first option pricing model derived within a general equilibrium framework, and therefore consistent with all arbitrage conditions an asset pricing model must satisfy. An attempt is made at explaining this model, and the first part of the paper is devoted to this objective. The appreciation of the theoretical elegance of the Bla
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Yang, Yuankai. "Pricing American and European options under the binomial tree model and its Black-Scholes limit model." Thesis, Linnéuniversitetet, Institutionen för matematik (MA), 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-68264.

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We consider the N step binomial tree model of stocks. Call options and put options of European and American type are computed explicitly. With appropriate scaling in time and jumps,  convergence of the stock prices and the option prices are obtained as N-&gt; infinite. The obtained convergence is the Black-Scholes model and, for the particular case of European call option, the Black-Scholes formula is obtained. Furthermore, the Black-Scholes partial differential equation is obtained as a limit from the N step binomial tree model. Pricing of American put option under the Black-Scholes model is
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Rich, Don R. "Incorporating default risk into the Black-Scholes model using stochastic barrier option pricing theory." Diss., This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-06062008-171359/.

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Saleh, Ali, and Ahmad Al-Kadri. "Option pricing under Black-Scholes model using stochastic Runge-Kutta method." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-53783.

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The purpose of this paper is solving the European option pricing problem under the Black–Scholes model. Our approach is to use the so-called stochastic Runge–Kutta (SRK) numericalscheme to find the corresponding expectation of the functional to the stochastic differentialequation under the Black–Scholes model. Several numerical solutions were made to study howquickly the result converges to the theoretical value. Then, we study the order of convergenceof the SRK method with the help of MATLAB.
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Balshaw, Lloyd Stanley. "Model Misspecification and the Hedging of Exotic Options." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/28437.

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Asset pricing models are well established and have been used extensively by practitioners both for pricing options as well as for hedging them. Though Black-Scholes is the original and most commonly communicated asset pricing model, alternative asset pricing models which incorporate additional features have since been developed. We present three asset pricing models here - the Black-Scholes model, the Heston model and the Merton (1976) model. For each asset pricing model we test the hedge effectiveness of delta hedging, minimum variance hedging and static hedging, where appropriate. The option
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Sjödin, Elin. "Option Pricing in Discrete Time and Connections between the Binomial Model and Black-Scholes Model." Thesis, Uppsala universitet, Analys och sannolikhetsteori, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-253765.

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Sundvall, Tomas, and David Trång. "Examination of Impact from Different Boundary Conditions on the 2D Black-Scholes Model : Evaluating Pricing of European Call Options." Thesis, Uppsala universitet, Avdelningen för beräkningsvetenskap, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-230866.

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This paper examines different combinations of close-field and far-field boundary conditions for solving the 2D Black-Scholes model using finite difference methods in space. The combinations were also tested for different parameter settings. The research showed that in the area close to the strike price, the error was not particularly affected by the boundary conditions but rather by the characteristics of the problem itself. The main differences in error for the combinations of conditions are located close to the boundaries. However, if the computational domain for some reason has to be reduce
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Hu, Junling. "Barrier Option Pricing under SABR Model Using Monte Carlo Methods." Digital WPI, 2013. https://digitalcommons.wpi.edu/etd-theses/655.

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The project investigates the prices of barrier options from the constant underlying volatility in the Black-Scholes model to stochastic volatility model in SABR framework. The constant volatility assumption in derivative pricing is not able to capture the dynamics of volatility. In order to resolve the shortcomings of the Black-Scholes model, it becomes necessary to find a model that reproduces the smile effect of the volatility. To model the volatility more accurately, we look into the recently developed SABR model which is widely used by practitioners in the financial industry. Pricing a bar
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Saleemi, Asima Parveen. "Finite Difference Methods for the Black-Scholes Equation." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-48660.

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Financial engineering problems are of great importance in the academic community and BlackScholes equation is a revolutionary concept in the modern financial theory. Financial instruments such as stocks and derivatives can be evaluated using this model. Option evaluation, is extremely important to trade in the stocks. The numerical solutions of the Black-Scholes equation are used to simulate these options. In this thesis, the explicit and the implicit Euler methods are used for the approximation of Black-scholes partial differential equation and a second order finite difference scheme is used
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Lee, Chi-ming Simon, and 李志明. "A study of Hong Kong foreign exchange warrants pricing using black-scholes formula." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1992. http://hub.hku.hk/bib/B3126542X.

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Books on the topic "Black and Scholes options pricing model"

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Chriss, Neil. Black-Scholes and beyond: Option pricing models. Irwin, 1997.

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Chriss, Neil. Black-Scholes and beyond: Option pricing models. McGraw-Hill, 1997.

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Dunphy, Christina. The pricing of options by method of the Black Scholes model. Oxford Brookes University, 1999.

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Park, Hun Y. A comparison of a random variance model and the Black-Scholes model of pricing long-term European options. College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, 1991.

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Hallerbach, Winfried G. A simple approximation to the normal distribution function with an application to the Black & Scholes option pricing model. Rotterdam Institute for Business Economic Studies, Erasmus Universiteit, 1994.

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Chriss, Neil. The Black-Scholes and beyond interactive toolkit: A step-by-step guide to in-depth option pricing models. McGraw-Hill, 1997.

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Chappell, David. On the derivation and solution of the Black-Scholes option pricing model: A step by step guide. University of Sheffield. School of Management and Economic Studies, 1987.

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Capiński, Marek. The Black-Scholes model. Cambridge University Press, 2013.

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Nielsen, Lars Tyge. Understanding N(d1) and N(d2): Risk-adjusted probabilities in the Black-Scholes model. INSEAD, 1992.

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Ursone, Pierino. How to calculate options prices and their greeks: Exploring the black scholes model from delta to vega. Wiley, 2015.

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Book chapters on the topic "Black and Scholes options pricing model"

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Pascucci, Andrea. "Black-Scholes model." In PDE and Martingale Methods in Option Pricing. Springer Milan, 2011. http://dx.doi.org/10.1007/978-88-470-1781-8_7.

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Franke, Jürgen, Wolfgang Karl Härdle, and Christian Matthias Hafner. "Black–Scholes Option Pricing Model." In Universitext. Springer Berlin Heidelberg, 2014. http://dx.doi.org/10.1007/978-3-642-54539-9_6.

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Borak, Szymon, Wolfgang Karl Härdle, and Brenda López Cabrera. "Black-Scholes Option Pricing Model." In Statistics of Financial Markets. Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-11134-1_6.

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Franke, Jürgen, Wolfgang Karl Härdle, and Christian Matthias Hafner. "Black–Scholes Option Pricing Model." In Universitext. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-13751-9_6.

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Franke, Jürgen, Wolfgang Härdle, and Christian M. Hafner. "Black-Scholes Option Pricing Model." In Universitext. Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-662-10026-4_6.

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Borak, Szymon, Wolfgang Karl Härdle, and Brenda López-Cabrera. "Black-Scholes Option Pricing Model." In Universitext. Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-33929-5_6.

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Franke, Jürgen, Wolfgang Karl Härdle, and Christian Matthias Hafner. "Black–Scholes Option Pricing Model." In Statistics of Financial Markets. Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-16521-4_6.

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Malliaris, A. G. "The Black-Scholes Option Pricing Model." In Financial Derivatives. John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266403.ch26.

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Chan, Raymond H., Yves ZY Guo, Spike T. Lee, and Xun Li. "Black–Scholes–Merton Model for Option Pricing." In Financial Mathematics, Derivatives and Structured Products. Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-13-3696-6_11.

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Chan, Raymond H., Yves ZY Guo, Spike T. Lee, and Xun Li. "Black–Scholes–Merton Model for Option Pricing." In Financial Mathematics, Derivatives and Structured Products. Springer Nature Singapore, 2024. http://dx.doi.org/10.1007/978-981-99-9534-9_14.

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Conference papers on the topic "Black and Scholes options pricing model"

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Li, Simo. "Empirical Analysis of Convertible Bond Pricing and Arbitrage Based on Black-Scholes Model." In International Conference on Data Science and Engineering. SCITEPRESS - Science and Technology Publications, 2024. http://dx.doi.org/10.5220/0012829300004547.

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Fadugba, Sunday Emmanuel, Adaobi Mmachukwu Udoye, Samuel Chiabom Zelibe, et al. "Reduced differential transform method for Solving Black-Scholes European options model in the sense of powered modified log-payoff function." In 2024 International Conference on Science, Engineering and Business for Driving Sustainable Development Goals (SEB4SDG). IEEE, 2024. http://dx.doi.org/10.1109/seb4sdg60871.2024.10629788.

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Zawar, Mehul. "Exploring the Role of Brownian Motion in Financial Modeling: A Stochastic Approach to the Black-Scholes Model for European Call Options." In 7th International Conference on Finance, Economics, Management and IT Business. SCITEPRESS - Science and Technology Publications, 2025. https://doi.org/10.5220/0013446300003956.

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Shehi, Enkeleda. "Option Pricing Models: The Evolution of the Black-Scholes-Merton Model." In 10th International Scientific Conference ERAZ - Knowledge Based Sustainable Development. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2024. https://doi.org/10.31410/eraz.2024.157.

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This paper focuses on the development and impact of the Black- Scholes-Merton (Black-Scholes) model in mathematical finance. It begins with an overview of the Black-Scholes model, including its foundational assumptions, the Black-Scholes equation, and its formula for pricing European options. The paper discusses the model’s significant advantages, such as its ability to estimate market volatility and provide a self-replicating hedging strategy. It also addresses its limitations, including assumptions of constant volatility and perfect market conditions, which often do not align with real-world
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Edeki, S. O., O. O. Ugbebor, and E. A. Owoloko. "A note on Black-Scholes pricing model for theoretical values of stock options." In PROGRESS IN APPLIED MATHEMATICS IN SCIENCE AND ENGINEERING PROCEEDINGS. AIP Publishing LLC, 2016. http://dx.doi.org/10.1063/1.4940288.

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Huang, Wenli, Shenghong Li, and Songyan Zhang. "Pricing Perpetual American Option under the Fractional Black-Scholes Model." In 2010 3rd International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2010. http://dx.doi.org/10.1109/bife.2010.47.

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Adzhar, Zahrul Azmir Absl Kamarul, and Fauziah Hanim Tafri. "Islamic options pricing model via artificial neural network: “Benchmarking to Black-Scholes”." In 2012 International Conference on Statistics in Science, Business and Engineering (ICSSBE2012). IEEE, 2012. http://dx.doi.org/10.1109/icssbe.2012.6396562.

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Takada, Hellinton Hatsuo, José de Oliveira Siqueira, Marcelo de Souza Lauretto, Carlos Alberto de Bragança Pereira, and Julio Michael Stern. "On the Black-Scholes European Option Pricing Model Robustness and Generality." In BAYESIAN INFERENCE AND MAXIMUM ENTROPY METHODS IN SCIENCE AND ENGINEERING: Proceedings of the 28th International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering. AIP, 2008. http://dx.doi.org/10.1063/1.3039017.

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Hao, Minlei, and Ziyuan Yin. "Option pricing based on the Black-Scholes and the Heston model." In International Conference on Cyber Security, Artificial Intelligence, and Digital Economy (CSAIDE 2022), edited by Yuanchang Zhong. SPIE, 2022. http://dx.doi.org/10.1117/12.2646649.

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Wróblewski, Marcin, and Andrzej Myślinski. "Non-linear Black-Scholes Option Pricing Model based on Quantum Dynamics." In 7th International Conference on Complexity, Future Information Systems and Risk. SCITEPRESS - Science and Technology Publications, 2022. http://dx.doi.org/10.5220/0011066000003197.

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Reports on the topic "Black and Scholes options pricing model"

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Tirapat, Sunti. Risk-based deposit insurance : an application to Thailand. Chulalongkorn University, 2000. https://doi.org/10.58837/chula.res.2000.19.

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This paper investigates the application of option pricing to calculate the premium of deposit insurance in Thailand during 1992-1996 period. In addition to applying the traditional Black-Scholes model, the barrier model of Boyle and Lee (1994) is examined. The barrier model takes the management (owners) action into account: the management (owners) may have strong incentive to increase the volatility of the bank’s assets since this action in crease the value of their equity. As suggested by the stylized evidence, most financial institutions in Thailand were owned by “family” and there was inade
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