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JANKOVÁ, Z.
Originální název
Black-Scholes Model Differential Equation and its Modifications for Valuation of Financial Derivatives
Typ
článek ve sborníku ve WoS nebo Scopus
Jazyk
angličtina
Originální abstrakt
The presented paper deals with the methods of evaluating financial derivatives employing differential equations while focus is placed mostly on options contracts. The popular Black and Scholes model is derived, as well as its two less known modifications, namely that of Merton and Garman-Kohlhagen; moreover, the current status of scientific models following from the original Black-Scholes model is mapped. The paper refers to the considerable drawbacks and limitations of the option valuation models, in particular in turbulent times when economy diverges from standard conditions. Despite the countless number of modifications of the original Black-Scholes model that are often very complicated and unsolvable without the use of computer technology, traders keep using the original models for evaluating options contracts.
Klíčová slova
Differential equations, derivative contracts, financial derivatives, options contracts, European-style options, mathematical modelling, Black-Scholes model, Merton model, Garman-Kohlhagen model
Autoři
Vydáno
25. 4. 2018
Nakladatel
IBIMA
Místo
Milano, Italy
ISBN
978-0-9998551-0-2
Kniha
Inovation Management and Education Excellence through Vision 2020
Strany od
801
Strany do
811
Strany počet
11
BibTex
@inproceedings{BUT148232, author="Zuzana {Janková}", title="Black-Scholes Model Differential Equation and its Modifications for Valuation of Financial Derivatives", booktitle="Inovation Management and Education Excellence through Vision 2020", year="2018", pages="801--811", publisher="IBIMA", address="Milano, Italy", isbn="978-0-9998551-0-2" }