The interest of professional investors in financial derivatives on the Croatian market is steadily increasing and trading is expected to start after the establishment of the legal framework. The quantification of the fair price of such financial instruments is therefore becoming increasingly important. Once the derivatives market is formed, the use of the Black-Scholes option pricing model is a...

This paper considers the pricing of a European option using a B, S -market in which the stock price and the asset in the riskless bank account both have hereditary price structures described by the authors of this paper 1999 . Under the smoothness assumption of the payoff function, it is shown that the infinite dimensional Black-Scholes equation possesses a unique classical solution. A spectral...

in this paper, a new identification of the lagrange multipliers by means of the sumudu transform, is employed to  btain a quick and accurate solution to the fractional black-scholes equation with the initial condition for a european option pricing problem. undoubtedly this model is the most well known model for pricing financial derivatives. the fractional derivatives is described in caputo sen...

This paper discusses the generalized Black-Scholes-Merton model, where volatility coefficient, drift coefficient of stocks, and interest rate are time-dependent deterministic functions. Together with it, we make assumption that volatility, drift, depend on a gamma or inverse-gamma random variable. model includes models skew Student’s t- variance-gamma-distributed stock log-returns. The price Eu...

We consider a pure endowment contract whose life contingent payout is linked to the performance of a risky stock or index. Because of the additional mortality risk, the market is incomplete; thus, a fundamental assumption of the Black-Scholes theory is violated. We price this contract via the principle of equivalent utility and demonstrate that, under the assumption of exponential utility, the ...