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Artykuły w czasopismach na temat "Black Scholes"
Schmitt, Markus. "Black-Scholes-Formel". Controlling 13, nr 6 (2001): 315–18. http://dx.doi.org/10.15358/0935-0381-2001-6-315.
Pełny tekst źródłaWang, Lujian, Minqing Zhang i Zhao Liu. "The Progress of Black-Scholes Model and Black-Scholes-Merton Model". BCP Business & Management 38 (2.03.2023): 3405–10. http://dx.doi.org/10.54691/bcpbm.v38i.4314.
Pełny tekst źródłaO'Brien, Thomas, i Risk/Finex. "From Black-Scholes to Black Holes." Journal of Finance 48, nr 4 (wrzesień 1993): 1560. http://dx.doi.org/10.2307/2329055.
Pełny tekst źródłaOmey, Edward, i Gulck van. "Markovian black and scholes". Publications de l'Institut Mathematique 79, nr 93 (2006): 65–72. http://dx.doi.org/10.2298/pim0693065o.
Pełny tekst źródłaHahnenstein, Lutz, Sascha Wilkens i Klaus Röder. "Die Black-Scholes-Optionspreisformel". WiSt - Wirtschaftswissenschaftliches Studium 30, nr 7 (2001): 355–61. http://dx.doi.org/10.15358/0340-1650-2001-7-355.
Pełny tekst źródłaKruschwitz, Lutz, i Maria Stefanova. "Die Black-Scholes-Differentialgleichung". WiSt - Wirtschaftswissenschaftliches Studium 36, nr 2 (2007): 82–87. http://dx.doi.org/10.15358/0340-1650-2007-2-82.
Pełny tekst źródłaAghili, A. "Fractional Black–Scholes equation". International Journal of Financial Engineering 04, nr 01 (marzec 2017): 1750004. http://dx.doi.org/10.1142/s2424786317500049.
Pełny tekst źródłaMunn, Luke. "From the Black Atlantic to Black-Scholes". Cultural Politics 16, nr 1 (1.03.2020): 92–110. http://dx.doi.org/10.1215/17432197-8017284.
Pełny tekst źródłaFink, Holger, i Stefan Mittnik. "Quanto Pricing beyond Black–Scholes". Journal of Risk and Financial Management 14, nr 3 (23.03.2021): 136. http://dx.doi.org/10.3390/jrfm14030136.
Pełny tekst źródłaStanislavsky, A. A. "Black–Scholes model under subordination". Physica A: Statistical Mechanics and its Applications 318, nr 3-4 (luty 2003): 469–74. http://dx.doi.org/10.1016/s0378-4371(02)01372-9.
Pełny tekst źródłaRozprawy doktorskie na temat "Black Scholes"
Cantaloni, Francesco. "Formula di Black-Scholes comportamentale". Bachelor's thesis, Alma Mater Studiorum - Università di Bologna, 2019.
Znajdź pełny tekst źródładel, Campo Daniel, i Fredrik Söderström. "Black & Scholes vs. Marknaden". Thesis, Södertörn University College, School of Business Studies, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-165.
Pełny tekst źródłaChávez, Fuentes Jorge Richard. "El modelo de Black-Scholes". Pontificia Universidad Católica del Perú, 2014. http://repositorio.pucp.edu.pe/index/handle/123456789/96422.
Pełny tekst źródłaPavlou, Petro. "KVA in Black Scholes Pricing". Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/30880.
Pełny tekst źródłaLindström, Linnea. "Black-Scholes : En prissättningsmodell för optioner". Thesis, Umeå University, Department of Mathematics and Mathematical Statistics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-35084.
Pełny tekst źródłaThis paper aims to derive the Black-Scholes equation for readers without advanced knowledge in finance and mathematics. To succeed, this paper contains a theoretical chapter in which concepts such as options, interest rate, differential equations and stochastic variable are explained. This paper also presents the theory of stochastic processes such as the Wiener process and Ito process. In the chapter on the Black-Scholes model the Ito process is used to describe price of shares and with the help of Ito's lemma Black-Scholes equation can be derived. In the paper, assumptions are listed that apply to the Black-Scholes model and then uses the Black-Scholes equation to calculate the price of a European call option. Finally, exotic options are described and also how options can be used to reduce risks.
Uppsatsens mål är att härleda Black-Scholes ekvation för läsare utan avancerade kunskaper inom finansiering och matematik. För att lyckas med detta innehåller uppsatsen ett teorikapitel där begrepp så som optioner, ränta, differentialekvation och stokastisk variabel förklaras. Där presenteras även teorier för stokastiska processer så som Wienerprocessen och Itoprocessen. I kapitlet om Black-Scholes modell används Itoprocessen för att beskriva aktiepriset och med hjälp av Itos lemma härleds Black-Scholes ekvation. Uppsatsen ställer upp antaganden som gäller för Black-Scholes modell och använder sedan Black-Scholes ekvation för att beräkna priset på en europeisk köpoption. Avslutningsvis beskrivs exotiska optioner samt hur optioner kan användas för att reducera risker.
Karlsson, Olle. "The Black-Scholes Equation and Formula". Thesis, Uppsala universitet, Analys och tillämpad matematik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-200441.
Pełny tekst źródłaDurrell, Fernando. "Alternatives to the Black-Scholes model". Master's thesis, University of Cape Town, 2001. http://hdl.handle.net/11427/4881.
Pełny tekst źródłaIn this paper, I consider alternative models to the one posited by Black and Scholes. I consider discontinuous security price movements, non-constant volatility, and models very different from the Black-Scholes model. I found that most of the model prices for the close to at-the-money options are very different from the market prices. In general, the models did poorly in producing similar prices as the market.
Coelho, Afonso Valente Ricardo de Seabra. "American options and the Black-Scholes Model". Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20735.
Pełny tekst źródłaOs problemas de apreçamento de opções têm sido um dos principais assuntos de em Matemática Financeira, desde a criação desse conceito nos anos 70. Mais especificamente, as opções americanas são de grande interesse nesta área do conhecimento porque são matematicamente muito mais complexas do que as opções europeias padrão e o modelo de Black-Scholes não fornece, na maioria dos casos, uma fórmula explícita para a determinação do preço deste tipo de opções. Nesta dissertação, mostramos como o estudo de opções americanas conduz à análise de problemas de fronteira livre devido à possibilidade de exercício antecipado, onde nosso principal objetivo é encontrar o preço de exercício ótimo. Também apresentamos a reformulação do problema em termos de um problema de complementaridade linear e de desigualdade variacional parabólica. Além disso, também abordamos a caracterização probabilística das opções americanas com base no conceito de tempos de paragem ótima. Essas formulações, aqui tratadas em termos analíticos ou probabilísticos, podem ser muito úteis na aplicação de métodos numéricos ao problema de precificação de opções do estilo americano, uma vez que, na maioria dos casos, é quase impossível encontrar soluções explícitas. Além disso, utilizamos o Método da Árvore Binomial, que é um método numérico muito simples do ponto de vista matemático, para ilustrar alguns aspectos da teoria estudada ao longo desta tese e para comparar as opções americanas com as opções europeias e bermudas, por meio de alguns exemplos numéricos.
Option pricing problems have been one of the main focuses in the field of Mathematical Finance since the creation of this concept in the 1970s. More specifically, American options are of great interest in this area of knowledge because they are much more complex mathematically than the standard European options and the Black-Scholes model cannot give an explicit formula to value this style options in most cases. In this dissertation, we show how pricing American options leads to free boundary problems because of the possibility of early exercise, where our main goal is to find the optimal exercise price. We also present how to reformulate the problem into a linear complementarity problem and a parabolic variational inequality. Moreover, we also address the probabilistic characterization of American options based on the concept of stopping times. These formulations, here viewed from the analytical and probabilistic point of view, can be very useful for applying numerical methods to the problem of pricing American style options since, in most cases, it is almost impossible to find explicit solutions. Furthermore, we use the Binomial Tree Method, which is a very simple numerical method from the mathematical point of view, to illustrate some aspects of the theory studied throughout this thesis and to compare American options with European and Bermudan Options, by means of a few numerical examples.
info:eu-repo/semantics/publishedVersion
Bucic, Ida. "Heston vs Black Scholes stock price modelling". Thesis, Linnéuniversitetet, Institutionen för matematik (MA), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-105614.
Pełny tekst źródłaAndrén, August, i Patrik Hagernäs. "Data-parallel Acceleration of PARSEC Black-Scholes Benchmark". Thesis, KTH, Skolan för informations- och kommunikationsteknik (ICT), 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-128607.
Pełny tekst źródłaKsiążki na temat "Black Scholes"
Larcher, Gerhard. Die Black-Scholes-Theorie. Wiesbaden: Springer Fachmedien Wiesbaden, 2022. http://dx.doi.org/10.1007/978-3-658-37376-4.
Pełny tekst źródłaCapiński, Marek. The Black-Scholes model. New York: Cambridge University Press, 2013.
Znajdź pełny tekst źródłaPorak, Anatol. Die Optionspreisformel von Black und Scholes. Wiesbaden: Gabler Verlag, 1988. http://dx.doi.org/10.1007/978-3-322-89312-3.
Pełny tekst źródła1951-, Levendorskiĭ Serge, red. Non-Gaussian Merton-Black-Scholes theory. Singapore: World Scientific, 2002.
Znajdź pełny tekst źródłaChriss, Neil. Black-Scholes and beyond: Option pricing models. Chicago: Irwin, 1997.
Znajdź pełny tekst źródłaChriss, Neil. Black-Scholes and beyond: Option pricing models. New York: McGraw-Hill, 1997.
Znajdź pełny tekst źródłaFINEX, red. From Black-Scholes to black holes: New frontiers in options. London: Risk/FINEX, 1992.
Znajdź pełny tekst źródłaCorhay, Albert. The Black and Scholes theorem: An alternative proof. Brussels: European Institute for Advanced Studies in Management, 1992.
Znajdź pełny tekst źródłaNcube, Mthuli. The Black and Scholes option price as a random variable. Cambridge: Department of Applied Economics, University of Cambridge, 1992.
Znajdź pełny tekst źródłaThe rise of the quants: Marschak, Sharpe, Black, Scholes and Merton. Houndmills, Basingstoke, Hampshire: Palgrave Macmillan, 2012.
Znajdź pełny tekst źródłaCzęści książek na temat "Black Scholes"
Franke, Jürgen, Wolfgang Härdle i Christian Hafner. "Black-Scholes-Optionsmodell". W Einführung in die Statistik der Finanzmärkte, 69–96. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-17049-2_6.
Pełny tekst źródłaKythe, Prem K. "Black-Scholes Model". W Elements of Concave Analysis and Applications, 271–304. Boca Raton, Florida : CRC Press, [2018]: Chapman and Hall/CRC, 2018. http://dx.doi.org/10.1201/9781315202259-12.
Pełny tekst źródłaWilliams, R. "Black-Scholes model". W Graduate Studies in Mathematics, 55–88. Providence, Rhode Island: American Mathematical Society, 2006. http://dx.doi.org/10.1090/gsm/072/04.
Pełny tekst źródłaFranke, Jürgen, Wolfgang Härdle i Christian Hafner. "Black-Scholes-Optionsmodell". W Einführung in die Statistik der Finanzmärkte, 69–97. Berlin, Heidelberg: Springer Berlin Heidelberg, 2001. http://dx.doi.org/10.1007/978-3-642-97127-3_6.
Pełny tekst źródłaPascucci, Andrea. "Black-Scholes model". W PDE and Martingale Methods in Option Pricing, 219–56. Milano: Springer Milan, 2011. http://dx.doi.org/10.1007/978-88-470-1781-8_7.
Pełny tekst źródłaBehrends, Ehrhard. "Black-Scholes-Formel". W Markovprozesse und stochastische Differentialgleichungen, 131–38. Wiesbaden: Springer Fachmedien Wiesbaden, 2012. http://dx.doi.org/10.1007/978-3-658-00988-5_10.
Pełny tekst źródłaKallianpur, Gopinath, i Rajeeva L. Karandikar. "Black and Scholes Theory". W Introduction to Option Pricing Theory, 191–203. Boston, MA: Birkhäuser Boston, 2000. http://dx.doi.org/10.1007/978-1-4612-0511-1_10.
Pełny tekst źródłaSchlüchtermann, Georg, i Stefan Pilz. "Das Black-Scholes-Modell". W Modellierung derivater Finanzinstrumente, 162–210. Wiesbaden: Vieweg+Teubner Verlag, 2010. http://dx.doi.org/10.1007/978-3-8348-9771-8_4.
Pełny tekst źródłaGünther, Michael, i Ansgar Jüngel. "Die Black-Scholes-Gleichung". W Finanzderivate mit MATLAB®, 48–99. Wiesbaden: Vieweg+Teubner, 2010. http://dx.doi.org/10.1007/978-3-8348-9786-2_4.
Pełny tekst źródłaSeydel, Rüdiger U. "Beyond Black and Scholes". W Tools for Computational Finance, 353–87. London: Springer London, 2017. http://dx.doi.org/10.1007/978-1-4471-7338-0_7.
Pełny tekst źródłaStreszczenia konferencji na temat "Black Scholes"
Stoynov, Pavel. "Financial models beyond the classical Black-Scholes". W RENEWABLE ENERGY SOURCES AND TECHNOLOGIES. AIP Publishing, 2019. http://dx.doi.org/10.1063/1.5127500.
Pełny tekst źródłaJIANG, LISHANG, i XUEMIN REN. "LIMITATIONS AND MODIFICATIONS OF BLACK-SCHOLES MODEL". W Differential Equations & Asymptotic Theory in Mathematical Physics. WORLD SCIENTIFIC, 2004. http://dx.doi.org/10.1142/9789812702395_0007.
Pełny tekst źródłaRasmussen, Maurice Lee, i Faruk Civan. "Value Assessment Using the Modified Black-Scholes Equation". W SPE Hydrocarbon Economics and Evaluation Symposium. Society of Petroleum Engineers, 2005. http://dx.doi.org/10.2118/94520-ms.
Pełny tekst źródłaFiliapuspa, M. H., S. F. Sari i S. Mardiyati. "Applying Black Scholes method for crop insurance pricing". W PROCEEDINGS OF THE 4TH INTERNATIONAL SYMPOSIUM ON CURRENT PROGRESS IN MATHEMATICS AND SCIENCES (ISCPMS2018). AIP Publishing, 2019. http://dx.doi.org/10.1063/1.5132469.
Pełny tekst źródłaFiněk, Václav. "Properties of wavelet discretization of Black-Scholes equation". W INTERNATIONAL CONFERENCE OF NUMERICAL ANALYSIS AND APPLIED MATHEMATICS (ICNAAM 2016). Author(s), 2017. http://dx.doi.org/10.1063/1.4992340.
Pełny tekst źródłaHe, Zhefei. "Optimal Portfolio and Consumption in Modified Black-Scholes Model". W 2011 Fourth International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2011. http://dx.doi.org/10.1109/bife.2011.90.
Pełny tekst źródłaHiguita, Esteban. "Application of the Black-Scholes equation in pharmaceutical engineering". W SPIE Commercial + Scientific Sensing and Imaging, redaktorzy Brian M. Cullum, Douglas Kiehl i Eric S. McLamore. SPIE, 2016. http://dx.doi.org/10.1117/12.2222542.
Pełny tekst źródłaAbernethy, Jacob, Rafael M. Frongillo i Andre Wibisono. "Minimax option pricing meets black-scholes in the limit". W the 44th symposium. New York, New York, USA: ACM Press, 2012. http://dx.doi.org/10.1145/2213977.2214070.
Pełny tekst źródłaChong, Kam Yoon, i John G. O’Hara. "Lie symmetry analysis of a fractional Black-Scholes equation". W MODERN TREATMENT OF SYMMETRIES, DIFFERENTIAL EQUATIONS AND APPLICATIONS (Symmetry 2019). AIP Publishing, 2019. http://dx.doi.org/10.1063/1.5125072.
Pełny tekst źródłaHuang, Wenli, Shenghong Li i Songyan Zhang. "Pricing Perpetual American Option under the Fractional Black-Scholes Model". W 2010 3rd International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2010. http://dx.doi.org/10.1109/bife.2010.47.
Pełny tekst źródłaRaporty organizacyjne na temat "Black Scholes"
Slavova, Angela, i Nikolay Kyurkchiev. On CNN Model of Black–Scholes Equation with Leland Correction. "Prof. Marin Drinov" Publishing House of Bulgarian Academy of Sciences, styczeń 2018. http://dx.doi.org/10.7546/crabs.2018.02.03.
Pełny tekst źródłaSlavova, Angela, i Nikolay Kyurkchiev. On CNN Model of Black–Scholes Equation with Leland Correction. "Prof. Marin Drinov" Publishing House of Bulgarian Academy of Sciences, luty 2018. http://dx.doi.org/10.7546/grabs2018.2.03.
Pełny tekst źródłaBaker, Dorothy. Black Content in Schools: A Model of Black Content in a School of Social Work's Curriculum. Portland State University Library, styczeń 2000. http://dx.doi.org/10.15760/etd.2098.
Pełny tekst źródłaRichardson, Allissa V. Trends in Mobile Journalism: Bearing Witness, Building Movements, and Crafting Counternarratives. Just Tech, Social Science Research Council, listopad 2021. http://dx.doi.org/10.35650/jt.3010.d.2021.
Pełny tekst źródłaHanushek, Eric, i Steven Rivkin. Harming the Best: How Schools Affect the Black-White Achievement Gap. Cambridge, MA: National Bureau of Economic Research, sierpień 2008. http://dx.doi.org/10.3386/w14211.
Pełny tekst źródłaBerdan, Robert, Terrence Wiley i Magaly Lavadenz. California Association for Bilingual Education (CABE) Position Statement on Ebonics. Center for Equity for English Learners, 1997. http://dx.doi.org/10.15365/ceel.statement.1997.1.
Pełny tekst źródłaDarling-Hammond, Sean. Fostering Belonging, Transforming Schools: The Impact of Restorative Practices. Learning Policy Institute, maj 2023. http://dx.doi.org/10.54300/169.703.
Pełny tekst źródłaPatton, Desmond, i Catalina Vallejo. Examining Violence and Black Grief on Social Media: An Interview with Desmond Upton Patton. Just Tech, Social Science Research Council, luty 2022. http://dx.doi.org/10.35650/jt.3020.d.2022.
Pełny tekst źródłaEriksson, Katherine. Access to Schooling and the Black-White Incarceration Gap in the Early 20th Century US South: Evidence from Rosenwald Schools. Cambridge, MA: National Bureau of Economic Research, listopad 2015. http://dx.doi.org/10.3386/w21727.
Pełny tekst źródłaSouch, Catherine, i Steve Brace. Geography of geography: the evidence base. Royal Geographical Society (with IBG), listopad 2020. http://dx.doi.org/10.55203/xqlb9264.
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