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La ecuación de Black-Scholes: aspectos matemático-financieros
(Universidad de LimaPE, 2014)
El objetivo de este proyecto es el estudio
de los aspectos matemáticos y financieros
de la valoración de opciones
por medio del célebre modelo de Black-
Scholes. A lo largo del estudio se exponen
las herramientas y ...
The Black-Scholes type financial models and the arbitrage opportunitiesThe Black-Scholes type financial models and the arbitrage opportunities
(Universidad de Costa Rica, Centro de Investigación en Matemática Pura y Aplicada (CIMPA), 2007)
Precificação de opções financeiras: um estudo sobre os modelos de Black Scholes e Garch
(Universidade Federal do Espírito SantoBRTeoria economica; Economia da inovação; Economia regional; Métodos quantitativosPrograma de Pós-Graduação em EconomiaUFESMestrado em Economia, 2011-05-20)
Neste trabalho são analisadas as propriedades teóricas e empíricas de três modelos de precificação de opções financeiras sobre ações: Black Scholes (1973), ad-hoc Black Scholes (Dumas, Fleming e Whaley, 1998), e o modelo ...
The Black-Scholes type financial models and the arbitrage opportunitiesThe Black-Scholes type financial models and the arbitrage opportunities
(2009-02-25)
By using the conservation laws concept, we study certain financial models similar tothe Black–Scholes model. We show that without complement limitations such modelscan have two or more volatilities. This fact imposes several ...
The Black-Scholes type financial models and the arbitrage opportunitiesThe Black-Scholes type financial models and the arbitrage opportunities
(2009-02-25)
By using the conservation laws concept, we study certain financial models similar tothe Black–Scholes model. We show that without complement limitations such modelscan have two or more volatilities. This fact imposes several ...
Os determinantes das diferenças entre volatilidades implícitas das opções no Brasil
(Universidade do Vale do Rio dos Sinos, 2021-03-18)
The present study targets its efforts towards the determination of possible variables that can explain the differences in implied volatility between same-firm options calls in Brazilian derivatives market. It aims to ...
Os determinantes das diferenças entre volatilidades implícitas das opções no Brasil
(Universidade do Vale do Rio dos Sinos, 2021-03-18)
The present study targets its efforts towards the determination of possible variables that can explain the differences in implied volatility between same-firm options calls in Brazilian derivatives market. It aims to ...
Group classification of a generalized Black-Scholes-Merton equation
(Elsevier Science BvAmsterdamHolanda, 2014)