Detail publikace

Black-Scholes Model Differential Equation and its Modifications for Valuation of Financial Derivatives

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

JANKOVÁ, Z.

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"
}