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1
المؤلفون: Antonio Attalienti, Michele Bufalo
المصدر: Opuscula Mathematica, Vol 40, Iss 4, Pp 451-473 (2020)
مصطلحات موضوعية: Numéraire, General Mathematics, lcsh:T57-57.97, numèraire, Process (computing), Black–Scholes model, binomial model, Binomial distribution, martingale measures, Valuation of options, black-scholes formula, lcsh:Applied mathematics. Quantitative methods, Call option, Node (circuits), Binomial options pricing model, Mathematical economics, Mathematics
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::12ce00c7bc624e195e1c37ba85dffa5c
https://www.opuscula.agh.edu.pl/vol40/4/art/opuscula_math_4024.pdf -
2
المؤلفون: Gergei Bana
المصدر: Expositiones Mathematicae. 25(1):83-93
مصطلحات موضوعية: Mathematics(all), Actuarial science, General Mathematics, Infinitesimal, Mathematical finance, Mathematics::Optimization and Control, Self-financing portfolio, Black–Scholes formula, Black–Scholes model, Wiener process, symbols.namesake, Computer Science::Computational Engineering, Finance, and Science, Replicating portfolio, symbols, Portfolio, Post-modern portfolio theory, Portfolio optimization, Mathematical economics, Mathematics
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3
المؤلفون: Ioannis Karatzas, Steven Kou
المصدر: Finance and Stochastics. 2:215-258
مصطلحات موضوعية: Contingent claims, hedging, pricing, arbitrage, constrained markets, incomplete markets, different interest rates, Black-Scholes formula, optimal stopping, free boundary, stochastic control, stochastic games, equivalent martingale measures, simultaneous Doob-Meyer decompositions, Statistics and Probability, Stochastic control, Convex analysis, jel:C60, jel:D52, Mathematical finance, Black–Scholes model, jel:G13, Infimum and supremum, Mathematics::Probability, Incomplete markets, Economics, Optimal stopping, Statistics, Probability and Uncertainty, Martingale (probability theory), Mathematical economics, Finance
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9f9d07960c36c135d363c8cb238d8540
https://doi.org/10.1007/s007800050039 -
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المؤلفون: Avi Bick
المصدر: Management Science. 41:722-732
مصطلحات موضوعية: Stochastic process, Portfolio insurance, Strategy and Management, Stopping time, Economics, trading strategies, Black-Scholes formula, portfolio insurance, quadratic variation, ito's Lemma, Trading strategy, Black–Scholes model, Management Science and Operations Research, Project portfolio management, Volatility (finance), Mathematical economics, Quadratic variation
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المؤلفون: Dilip B. Madan, Marc Yor, Bernard Roynette
المساهمون: University of Maryland [College Park], University of Maryland System, Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Université Pierre et Marie Curie - Paris 6 (UPMC)-Université Paris Diderot - Paris 7 (UPD7)-Centre National de la Recherche Scientifique (CNRS), Institut Élie Cartan de Nancy (IECN), Institut National de Recherche en Informatique et en Automatique (Inria)-Université Henri Poincaré - Nancy 1 (UHP)-Université Nancy 2-Institut National Polytechnique de Lorraine (INPL)-Centre National de la Recherche Scientifique (CNRS), TOSCA, Centre National de la Recherche Scientifique (CNRS)-Institut National Polytechnique de Lorraine (INPL)-Université Nancy 2-Université Henri Poincaré - Nancy 1 (UHP)-Inria Sophia Antipolis - Méditerranée (CRISAM), Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-INRIA Lorraine, Institut National de Recherche en Informatique et en Automatique (Inria), INRIA Lorraine, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Inria Sophia Antipolis - Méditerranée (CRISAM)
المصدر: Finance Research Letters
Finance Research Letters, Elsevier, 2008, 5 (2), pp.79-87. ⟨10.1016/j.frl.2008.02.002⟩
Finance Research Letters, 2008, 5 (2), pp.79-87. ⟨10.1016/j.frl.2008.02.002⟩
Option Prices as Probabilitiesمصطلحات موضوعية: Computer Science::Computer Science and Game Theory, 050208 finance, 05 social sciences, Spectrally negative processes, Black–Scholes formula, Black–Scholes model, 01 natural sciences, Infimum and supremum, Stock price, Calendar spreads, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], 010104 statistics & probability, 0502 economics and business, Local martingale, Economics, Forward price, 0101 mathematics, Martingale (probability theory), Mathematical economics, Moneyness, Random variable, Finance
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6
المؤلفون: Gergei Bana
مصطلحات موضوعية: Infinitesimal, Mathematical finance, Bond, Mathematics::Optimization and Control, Black–Scholes model, jel:G, Computer Science::Computational Engineering, Finance, and Science, Replicating portfolio, Economics, Portfolio, mathematical finance, Black-Scholes formula, internal gains, Wiener process, self-financing portfolio, Post-modern portfolio theory, Portfolio optimization, Mathematical economics
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c962e770a7e3ba7632e132bcb5ed893f
http://econwpa.repec.org/eps/fin/papers/0509/0509015.pdf -
7
المؤلفون: S. Pergamenshchikov
المصدر: Ann. Appl. Probab. 13, no. 3 (2003), 1099-1118
مصطلحات موضوعية: Statistics and Probability, Transaction cost, 90A09, Transaction costs, call option, Black-Scholes formula, Black–Scholes model, Rate of convergence, 60H05, Portfolio, asymptotic hedging, Call option, Limit (mathematics), Statistics, Probability and Uncertainty, Mathematical economics, Leland's strategy, Mathematics
وصف الملف: application/pdf
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::21c3a950beb48efab563d0245a33a152
http://projecteuclid.org/euclid.aoap/1060202836 -
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المؤلفون: Shoujun Huang, Jin E. Zhang, Tiecheng Li
المصدر: International Journal of Theoretical and Applied Finance. 16(04):1350022-1
مصطلحات موضوعية: European put, payoff function, Black–Scholes formula, asymptotic expansion, Intersection, Convergence (routing), Dividend yield, Expiration date, Black–Scholes model, Singular point of a curve, Payoff function, Asymptotic expansion, General Economics, Econometrics and Finance, Mathematical economics, Finance, Mathematics
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::af9983a5e3fc9b36388d46cf985e0473
http://www.worldscinet.com/cgi-bin/details.cgi?type=pdf&id=pii:S0219024913500222 -
9
المؤلفون: Ioannis Karatzas, Steven Kou
المصدر: Ann. Appl. Probab. 6, no. 2 (1996), 321-369
مصطلحات موضوعية: Statistics and Probability, 90A09, 49N15, incomplete markets, media_common.quotation_subject, utility maximization, Interval (mathematics), Black–Scholes model, two different interest rates, constrained portfolios, Pricing of contingent claims, equivalent martingale measures, Incomplete markets, Call option, stochastic control, 60G44, Special case, media_common, Mathematics, Stochastic control, Actuarial science, martingale representations, minimization of relative entropy, Black-Scholes formula, 90A10, 93E20, 90A16, Interest rate, Arbitrage, Statistics, Probability and Uncertainty, 60H30, Mathematical economics
وصف الملف: application/pdf
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::916c8978b604506550e42a0ebec4d02a
http://projecteuclid.org/euclid.aoap/1034968135 -
10
المؤلفون: Fima Klebaner
المصدر: Scopus-Elsevier
Electron. Commun. Probab. 7 (2002), 79-83
Monash Universityمصطلحات موضوعية: Statistics and Probability, Black-Scholes formula, Meyer-Tanaka formula, Black–Scholes model, Mathematical proof, Stock price, 91B28, Semimartingale, Mathematics::Probability, semimartingales, 60G35, Option price, Call option, Statistics, Probability and Uncertainty, Mathematical economics, Stock (geology), Mathematics
وصف الملف: application/pdf
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aad4d125718ac09df8c33970504aabac
http://www.scopus.com/inward/record.url?eid=2-s2.0-3042778296&partnerID=MN8TOARS
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