Detail publikačního výsledku

Qualitative phase portrait of modified Black-Scholes model

DOHNAL, M.; KONEČNÝ, J.; VÍCHA, T.

Originální název

Qualitative phase portrait of modified Black-Scholes model

Anglický název

Qualitative phase portrait of modified Black-Scholes model

Druh

Článek recenzovaný mimo WoS a Scopus

Originální abstrakt

A qualitative model is based on only three values - positive (increasing), zero (constant) and negative (decreasing). This paper gives a simplified interpretation of some basic concepts, to eliminate the necessity of an extensive study of qualitative reasoning. The generally accepted theory of option pricing is based on the Black-Scholes model. The Black-Scholes model is transferred into a set of qualitative relations and two additional variables. Mood on stock market and risk aversion are incorporated into the qualitative model. The resulting model has 1250 solutions, and there are 16,416 transitions among them. A Chaos related interpretation of the results is presented. An example of a prediction based on modified Black-Scholes model is demonstrated below.

Anglický abstrakt

A qualitative model is based on only three values - positive (increasing), zero (constant) and negative (decreasing). This paper gives a simplified interpretation of some basic concepts, to eliminate the necessity of an extensive study of qualitative reasoning. The generally accepted theory of option pricing is based on the Black-Scholes model. The Black-Scholes model is transferred into a set of qualitative relations and two additional variables. Mood on stock market and risk aversion are incorporated into the qualitative model. The resulting model has 1250 solutions, and there are 16,416 transitions among them. A Chaos related interpretation of the results is presented. An example of a prediction based on modified Black-Scholes model is demonstrated below.

Klíčová slova

Qualitative modeling; Black-Scholes model; Chaos theory

Klíčová slova v angličtině

Qualitative modeling; Black-Scholes model; Chaos theory

Autoři

DOHNAL, M.; KONEČNÝ, J.; VÍCHA, T.

Rok RIV

2011

Vydáno

20.05.2010

Nakladatel

ELSEVIER

Místo

US

ISSN

0957-4174

Periodikum

Expert Systems with Applications

Svazek

37

Číslo

5

Stát

Spojené státy americké

Strany od

3823

Strany do

3826

Strany počet

4

BibTex

@article{BUT50269,
  author="Mirko {Dohnal} and Jiří {Konečný} and Tomáš {Vícha}",
  title="Qualitative phase portrait of modified Black-Scholes model",
  journal="Expert Systems with Applications",
  year="2010",
  volume="37",
  number="5",
  pages="3823--3826",
  issn="0957-4174"
}