Implied Volatility in Black-scholes Model with Garch Volatility

Sheraz, Muhammad; Preda, Vasile

doi:10.1016/s2212-5671(14)00141-5

Cited by 5 publications

(2 citation statements)

References 5 publications

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“…To conclude, Black-Scholes model is highly appreciated in quantitative finance because of its accurate and useful estimation of stock prices. Black-Scholes equation represents derivation of option pricing though taking into account such factors as time period t, risk-free interest rate r and volatility of stock prices σ (Sheraza and Preda (2014)). Derived solution for the option value is closely related to corporate liabilities, therefore, the formula derived may be used to securities, including common stock and bond (Black and Scholes (1973)).…”

Section: Discussionmentioning

confidence: 99%

On a method of solving the Black-Scholes Equation

Yermukanova,

Zhexembay,

Karjanto

2015

Preprint

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The paper proposes a different method of solving a simplified version of the Black-Scholes equation. In the first part of the paper, the Black-Scholes equation is transformed into ordinary differential equation to get a solution similar to the solution of the Euler equation. The second part of the paper focuses on partial differential equation. Separation of variables method is used to solve the Black-Scholes equation. Plots corresponding to put and call options are also given.

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Section: Discussionmentioning

confidence: 99%

On a method of solving the Black-Scholes Equation

Yermukanova,

Zhexembay,

Karjanto

2015

Preprint

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“…The Black-Scholes equation was proposed by Fisher Black and Myron Scholes in 1973 [27] to express the behavior of the option price in the European style market. Several papers have investigated how the Black-Scholes equation describes the behavior of the market [28][29][30][31][32]. Moreover, the Black-Scholes equation has been extended to express the behavior in another market, such as the American-style market and Asian-style market [33][34][35][36].…”

Section: Introductionmentioning

confidence: 99%

On the solution of two-dimensional fractional Black–Scholes equation for European put option

Prathumwan

Trachoo

2020

Adv Differ Equ

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The purpose of this paper was to investigate the dynamics of the option pricing in the market through the two-dimensional time fractional-order Black-Scholes equation for a European put option. The Liouville-Caputo derivative was used to improve the ordinary Black-Scholes equation. The analytic solution is a powerful tool for describing the behavior of the option price in the European style market. In this study, analytic solution is carried out by the Laplace homotopy perturbation method. Moreover, the obtained solution showed that the Laplace homotopy perturbation method was an efficient method for finding an analytic solution of two-dimensional fractional-order differential equation.

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Carbon Option Pricing Problem Under Hidden Markov-Modulated Model

Yang

2023

Preprint

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Implied Volatility in Black-scholes Model with Garch Volatility

Cited by 5 publications

References 5 publications

On a method of solving the Black-Scholes Equation

On a method of solving the Black-Scholes Equation

On the solution of two-dimensional fractional Black–Scholes equation for European put option

Carbon Option Pricing Problem Under Hidden Markov-Modulated Model

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