Black-Scholes Fuzzy Numbers as Indexes of Performance
نویسندگان
چکیده
منابع مشابه
Valuation of performance-dependent options in a Black- Scholes framework
In this paper, we introduce performance-dependent options as the appropriate financial instrument for a company to hedge the risk arising from the obligation to purchase shares as part of a bonus scheme for their executives. We determine the fair price of such options in a multidimensional Black-Scholes model which results in the computation of a multidimensional integral whose dimension equals...
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In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his continuous-time consumption-portfolio problem, deriving general equilibrium relationships among the securities in the asset market. In special case where the interest ...
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We generalize the classical binomial approach of the model of Black and Scholes to a Markov binomial approach. This leads to a new formula for the cost of an option.
متن کاملThe Black-Scholes Equation
The most important application of the Itô calculus, derived from the Itô lemma, in financial mathematics is the pricing of options. The most famous result in this area is the Black-Scholes formulae for pricing European vanilla call and put options. As a consequence of the formulae, both in theoretical and practical applications, Robert Merton and Myron Scholes were awarded the Nobel Prize for E...
متن کاملSome Drawbacks of Black-scholes
To provide one motivation for the development of ARCH models (next handout), we briefly discuss here some difficulties associated with the Black Scholes formula, which is widely used to calculate the price of an option. For example, consider a European call option for a stock. This is the right to buy a specific number of shares of a specific stock on a specific date in the future, at a specifi...
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ژورنال
عنوان ژورنال: Applied Computational Intelligence and Soft Computing
سال: 2010
ISSN: 1687-9724,1687-9732
DOI: 10.1155/2010/607214