Search Results
| Search type | Search syntax |
|---|---|
| Tags | [tag] |
| Exact | "words here" |
| Author |
user:1234 user:me (yours) |
| Score |
score:3 (3+) score:0 (none) |
| Answers |
answers:3 (3+) answers:0 (none) isaccepted:yes hasaccepted:no inquestion:1234 |
| Views | views:250 |
| Code | code:"if (foo != bar)" |
| Sections |
title:apples body:"apples oranges" |
| URL | url:"*.example.com" |
| Saves | in:saves |
| Status |
closed:yes duplicate:no migrated:no wiki:no |
| Types |
is:question is:answer |
| Exclude |
-[tag] -apples |
| For more details on advanced search visit our help page | |
Results tagged with black-scholes
Search options not deleted
user 2161
Black-Scholes is a mathematical model used for pricing options.
1
vote
Accepted
Self-financing and Black-Scholes-Merton formula
OK, I think now I got the point, after comparing to Shreve's "Stochastic calculus for finance I, The binomial asset pricing model", the simpler case.
The pricing theory in continuous time is:
Defi …
- 2,231
15
votes
6
answers
8k
views
Self-financing and Black-Scholes-Merton formula
Self-financing is an important concept in financial product replicating, normally used in pricing.
I read about several ways to derive Black-Scholes-Merton (BSM) formula. Seems some approaches actua …
- 2,231
10
votes
3
answers
785
views
Is it possible to demonstrate that one pricing model is better than another?
Take the classic GBM (geometric Brownian motion) model for equities as an example:
ds = mu * S * dt + sigma * S * dW.
It is the basis for the classic Black-Scholes formula.
The model says volatili …
- 2,231
2
votes
American Swaption Pricing with Monte-Carlo method
American options pricing (swaption is just a kind of option) is a bit tricky due to the early exercise. Here is a page listing possible approaches, including some numeric methods, and some close form …
- 2,231