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
  • [31] THE BLACK-SCHOLES FORMULA: A VIRTUAL LABORATORY
    Gimenez, Fernando
    Jose Marin, Ma
    INTED2012: INTERNATIONAL TECHNOLOGY, EDUCATION AND DEVELOPMENT CONFERENCE, 2012, : 181 - 184
  • [32] BLACK-SCHOLES PRICING PROBLEM - REPLY
    BOUCHAUD, JP
    SORNETTE, D
    JOURNAL DE PHYSIQUE I, 1995, 5 (02): : 219 - 220
  • [33] A multiscale correction to the Black-Scholes formula
    Kim, Jeong-Hoon
    Lee, Jungwoo
    Zhu, Song-Ping
    Yu, Seok-Hyon
    APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2014, 30 (06) : 753 - 765
  • [34] Exotic option pricing model of the Black-Scholes formula: a proactive investment strategy
    Wu, Jingyu
    Wang, Yaoping
    Zhu, Minting
    Zheng, Han
    Li, Lingfei
    FRONTIERS IN PHYSICS, 2023, 11
  • [35] Comparison of black-scholes formula with fractional black-scholes formula in the foreign exchange option market with changing volatility
    Meng L.
    Wang M.
    Asia-Pacific Financial Markets, 2010, 17 (2) : 99 - 111
  • [36] A Robust Numerical Simulation of a Fractional Black-Scholes Equation for Pricing American Options
    Nuugulu, S. M.
    Gideon, F.
    Patidar, K. C.
    JOURNAL OF NONLINEAR MATHEMATICAL PHYSICS, 2024, 31 (01)
  • [37] An extremely efficient numerical method for pricing options in the Black-Scholes model with jumps
    Ahmadian, Davood
    Vincenzo Ballestra, Luca
    Karimi, Nader
    MATHEMATICAL METHODS IN THE APPLIED SCIENCES, 2021, 44 (02) : 1843 - 1862
  • [38] Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula
    Glazyrina, Anna
    Melnikov, Alexander
    STATISTICS & PROBABILITY LETTERS, 2016, 111 : 86 - 92
  • [39] Rate of convergence of trinomial formula to Black-Scholes formula
    Ratibenyakool, Yuttana
    Neammanee, Kritsana
    STATISTICS & PROBABILITY LETTERS, 2024, 213
  • [40] The Pricing of Convertible Bond under Different Provisions: A Refinement to the Black-Scholes Modified Model
    Bao Xin
    Sun Kai-feng
    Sun Bai-qing
    Guo Yu-cong
    2016 23RD ANNUAL INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS. I AND II, 2016, : 1251 - 1259
12345