Global ETD Search
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Showing 1 to 6 of 6 for “"Black-Scholes-Merton model"”.
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Parameter estimation of the Black-Scholes-Merton model
… asset prices for European options are often modeled according to the Black-Scholes-Merton (BSM) model, a stochastic differential equation (SDE) depending on unknown parameters. A derivation of the solution to this SDE is reviewed, resulting in a stochastic process called geometric Brownian …
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Stock Option Valuation for Thinly Traded Enterprises: Comparing the Historically Based Intrinsic Value Model to the Black-Scholes-Merton Model
… to value these options, most accountants use the Black-Scholes-Merton (BSM) option pricing model because of its simplicity. While evidence suggests that the model is effective for larger entities with regularly traded stocks, the BSM model becomes less effective when a stock's price is highly …
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The optimal valuation of Black Economic Empowerment transactions in South Africa
… Valuations and valuations performed using the Black-Scholes-Merton Model. Various amendments to each of these methods are introduced in order to correct for pricing biases inherent in each valuation model.
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Stock Option Valuations and Constraint Enforcement Using Neural Networks
… closed-form pricing solutions like the infamous Black-Scholes-Merton model, as well as in real-world settings. The collective conclusion that is deduced from past literature presents a clear case for their use in finance, albeit that there are some notable pitfalls, like the lack of …
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Pricing of contingent claims under the real-world measure
… financial quantities. The obtained formulae are model independent, yet reveal important differences between the real-world arid classical risk-neutral approaches. Real-world prices are systematically derived under each of the models studied within this thesis for the following contingent claims: …
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Analytical Solutions of the SABR Stochastic Volatility Model
… studies a mathematical problem that arises in modeling the prices of option contracts in an important part of global financial markets, the fixed income option market. Option contracts, among other derivatives, serve an important function of transferring and managing financial risks in today's …