Relevant bibliographies by topics / Black Scholes Option Pricing Model

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Academic literature on the topic 'Black Scholes Option Pricing Model'

Author: Grafiati
Published: 4 June 2021
Last updated: 11 June 2025

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Journal articles on the topic "Black Scholes Option Pricing Model"

1

Lee, Eun-Kyung, and Yoon-Dong Lee. "Understanding Black-Scholes Option Pricing Model." Communications for Statistical Applications and Methods 14, no. 2 (2007): 459–79. http://dx.doi.org/10.5351/ckss.2007.14.2.459.

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2

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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Abstract:

 
 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. Finally, we have compared option prices for all three models and decided the best model for Indian Options.
 Motivation/Background:
 In 1973, two economists, Fischer Black, Myron and Robert Merton derived a closed form formula for finding value of financial options. For this discovery, they got a Nobel prize in Economic science in 1997. Afterwards, many researchers have found some limitations of Black-Scholes model. To overcome these limitations, there are many generalizations of Black-Scholes model available in literature. Also, there are very limited study available for comparison of generalized Black-Scholes models in context of Indian stock market. For these reasons we have done this study of comparison of two generalized BS models with classical BS model for Indian Stock market.
 Method:
 First, we have selected top 5 sectors of Indian stock market. Then from these sectors, we have picked total 22 stocks for which we want to compare three option pricing models. Then we have collected essential data like, current stock price, strike price, expiration time, rate of interest, etc. for computing the theoretical price of options by using three different option pricing formulas. After finding price of options by using all three models, finally we compared these theoretical option price with market price of respected stock options and decided that which theoretical price has less RMSE error among all three model prices.
 Result:
 After going through the method described above, we found that the generalized Black-Scholes model with modified distribution has minimum RMSE errors than other two models, one is classical Black-Scholes model and other is Generalized Black-Scholes model with modified interest rate.
 
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3

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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4

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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Abstract:
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 between the observed and theoretical option prices. The implied distribution of BIST 30 index does not significantly deviate from normal distribution. In addition, pricing performance of Black Scholes model performs better in most of the time. Black Scholes pricing Formula, Carrado-Su pricing Formula, Implied Parameters
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5

Fink, Holger, and Stefan Mittnik. "Quanto Pricing beyond Black–Scholes." Journal of Risk and Financial Management 14, no. 3 (2021): 136. http://dx.doi.org/10.3390/jrfm14030136.

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Abstract:
Since their introduction, quanto options have steadily gained popularity. Matching Black–Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models. The validation of quanto-pricing models has been a challenge so far, due to the lack of comprehensive data records of exchange-traded quanto transactions. To overcome this, we make use of exchange-traded structured products. After deriving prices for composite options in the existing modeling framework, we propose a new calibration procedure, carry out extensive analyses of parameter stability and assess the goodness of fit for plain vanilla and exotic double-barrier options.
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6

ZHAO, JINSHI, and JIAZHEN HUO. "COORDINATION MECHANISM COMBINING SUPPLY CHAIN OPTIMIZATION AND RULE IN EXCHANGE." Asia-Pacific Journal of Operational Research 30, no. 05 (2013): 1350015. http://dx.doi.org/10.1142/s0217595913500152.

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Abstract:
There are two kinds of option pricing. The option pricing in exchange follows the Black–Scholes rule but does not consider the optimizing of supply chain. The traditional supply chain option contract can optimize supply chain but does not meet the Black–Scholes rule. We integrate the assumption of above two kinds of option pricing, and design a model to combine the Black–Scholes rule and traditional option contract of optimizing in a supplier-led supply chain. Our combined model can guide the enterprises to write or buy option considering both option pricing rule in financial market and the optimization of supply chain. Then we simulate and verify the model in Zinc industry of China. It is proved that our option pricing model is equalized and optimal to supply chain and consistent with Black–Scholes rule.
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7

Song, Lina, and Weiguo Wang. "Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method." Abstract and Applied Analysis 2013 (2013): 1–10. http://dx.doi.org/10.1155/2013/194286.

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Abstract:
This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative. With the aid of symbolic calculation software, European and American put option pricing models that combine the time-fractional Black-Scholes equation with the conditions satisfied by the standard put options are numerically solved using the implicit scheme of the finite difference method.
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8

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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Abstract:
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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9

Mehrdoust, Farshid, Amir Hosein Refahi Sheikhani, Mohammad Mashoof, and Sabahat Hasanzadeh. "Block-pulse operational matrix method for solving fractional Black-Scholes equation." Journal of Economic Studies 44, no. 3 (2017): 489–502. http://dx.doi.org/10.1108/jes-05-2016-0107.

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Abstract:
Purpose The purpose of this paper is to evaluate a European option using the fractional version of the Black-Scholes model. Design/methodology/approach In this paper, the authors employ the block-pulse operational matrix algorithm to approximate the solution of the fractional Black-Scholes equation with the initial condition for a European option pricing problem. Findings The fractional derivative will be described in the Caputo sense in this paper. The authors show the accuracy and computational efficiency of the proposed algorithm through some numerical examples. Originality/value This is the first paper that considers an alternative algorithm for pricing a European option using the fractional Black-Scholes model.
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10

Wu, Shujin, and Shiyu Wang. "European Option Pricing Formula in Risk-Aversive Markets." Mathematical Problems in Engineering 2021 (July 31, 2021): 1–17. http://dx.doi.org/10.1155/2021/9713521.

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Abstract:
In this study, using the method of discounting the terminal expectation value into its initial value, the pricing formulas for European options are obtained under the assumptions that the financial market is risk-aversive, the risk measure is standard deviation, and the price process of underlying asset follows a geometric Brownian motion. In particular, assuming the option writer does not need the risk compensation in a risk-neutral market, then the obtained results are degenerated into the famous Black–Scholes model (1973); furthermore, the obtained results need much weaker conditions than those of the Black–Scholes model. As a by-product, the obtained results show that the value of European option depends on the drift coefficient μ of its underlying asset, which does not display in the Black–Scholes model only because μ = r in a risk-neutral market according to the no-arbitrage opportunity principle. At last, empirical analyses on Shanghai 50 ETF options and S&P 500 options show that the fitting effect of obtained pricing formulas is superior to that of the Black–Scholes model.
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