A refinement of the black-scholes formula of pricing options

被引：5
|
作者：
Trenev N.N. [1 ]
机构：
[1] Ctrl. Economic-Math. Institute, Russian Academy of Sciences, Moscow
来源：
Cybernetics and Systems Analysis | 2001年 / 37卷 / 6期
关键词：
Black-scholes formula; Exact formula for pricing options; Pricing of options;
D O I：
10.1023/A:1014542217599
中图分类号：
学科分类号：
摘要：
A central problem of actuarial mathematics, i.e., the problem of pricing options (documents of a certain form that grant rights to buy or sell securities in the future), is considered. Tlie well-known Black-Scholes approximate formula for pricing options is refined. ©2001 Plenum Publishing Corporation.
引用
下载
收藏
页码：911 / 917
页数：6
相关论文
共 50 条
  • [21] Study of India VIX options pricing using Black-Scholes model
    Chauhan, Arun
    Gor, Ravi
    NMIMS MANAGEMENT REVIEW, 2020, 38 (04): : 10 - 21
  • [22] Reduced Basis Methods for Pricing Options with the Black-Scholes and Heston Models
    Burkovska, O.
    Haasdonk, B.
    Salomon, J.
    Wohlmuth, B.
    SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2015, 6 (01): : 685 - 712
  • [23] A Note on Black-Scholes Pricing Model for Theoretical Values of Stock Options
    Edeki, S. O.
    Ugbebor, O. O.
    Owoloko, E. A.
    PROGRESS IN APPLIED MATHEMATICS IN SCIENCE AND ENGINEERING PROCEEDINGS, 2016, 1705
  • [24] BLACK-SCHOLES PRICING PROBLEM - COMMENT
    MIKHEEV, LV
    JOURNAL DE PHYSIQUE I, 1995, 5 (02): : 217 - 218
  • [25] Black-Scholes Formula in Subdiffusive Regime
    Marcin Magdziarz
    Journal of Statistical Physics, 2009, 136 : 553 - 564
  • [26] Black-Scholes Formula in Subdiffusive Regime
    Magdziarz, Marcin
    JOURNAL OF STATISTICAL PHYSICS, 2009, 136 (03) : 553 - 564
  • [27] Quanto Pricing beyond Black-Scholes
    Fink, Holger
    Mittnik, Stefan
    JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2021, 14 (03)
  • [28] UNBIASED ESTIMATION OF THE BLACK-SCHOLES FORMULA
    BUTLER, JS
    SCHACHTER, B
    JOURNAL OF FINANCIAL ECONOMICS, 1986, 15 (03) : 341 - 357
  • [29] BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS
    Vecer, Jan
    MATHEMATICAL FINANCE, 2014, 24 (03) : 598 - 626
  • [30] On the Kernel of the Black-Scholes Equation for the Option Price on Future Related to the Black-Scholes Formula
    Kananthai, Amnuay
    Chanaim, Somsak
    Rungruang, Chongkolnee
    THAI JOURNAL OF MATHEMATICS, 2018, 16 (03): : 733 - 744
12345