Copertina

Stochastic Calculus and the Black-Scholes-Merton Model: A Simplified Approach

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autore principale:	Chang, Kuo-Ping
Natura:	Preprint
Pubblicazione:	2026
Soggetti:	Mathematical Finance
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

The Black-Scholes-Merton dual equation
di: Guo, Shuxin, et al.
Pubblicazione: (2019)

Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model
di: Lindquist, W. Brent, et al.
Pubblicazione: (2024)

Boundary conditions at infinity for Black-Scholes equations
di: Tsuzuki, Yukihiro
Pubblicazione: (2024)

An Explicit Solution to Black-Scholes Implied Volatility
di: Schadner, Wolfgang
Pubblicazione: (2026)

On Noncommutative Quantum Mechanics and the Black-Scholes Model
di: Espinoza-García, Abraham, et al.
Pubblicazione: (2025)

A Calculus of Variations Approach to Stochastic Control
di: Lorig, Matthew
Pubblicazione: (2025)

Subleading correction to the Asian options volatility in the Black-Scholes model
di: Pirjol, Dan
Pubblicazione: (2024)

Quantum Speedups for Derivative Pricing Beyond Black-Scholes
di: Herman, Dylan, et al.
Pubblicazione: (2026)

An Extended Merton Problem With Relaxed Benchmark Tracking
di: Lijun Bo, et al.
Pubblicazione: (2025)

Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference
di: Rakshit, Agni, et al.
Pubblicazione: (2024)

Integration of Fractional Order Black-Scholes Merton with Neural Network
di: Maitra, Sarit, et al.
Pubblicazione: (2023)

Discrete-time weak approximation of a Black-Scholes model with drift and volatility Markov switching
di: Golomoziy, Vitaliy, et al.
Pubblicazione: (2025)

Computing Black Scholes with Uncertain Volatility-A Machine Learning Approach
di: Hellmuth, Kathrin, et al.
Pubblicazione: (2022)

Merton's Problem with Recursive Perturbed Utility
di: Dai, Min, et al.
Pubblicazione: (2026)

Pontryagin-Guided Policy Optimization for Merton's Portfolio Problem
di: Huh, Jeonggyu, et al.
Pubblicazione: (2024)

Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding
di: Choi, Jaehyuk, et al.
Pubblicazione: (2023)

Exact Terminal Condition Neural Network for American Option Pricing Based on the Black-Scholes-Merton Equations
di: Zhang, Wenxuan, et al.
Pubblicazione: (2025)

Solving Stochastic Climate‐Economy Models: A Deep Least‐Squares Monte Carlo Approach
di: Aleksandar Arandjelović, et al.
Pubblicazione: (2026)

The Approach of Sliced Inference in Systems of Stochastic Differential Equations with Comments on the Heston Model
di: Özsoy, Ahmet Umur
Pubblicazione: (2025)

Pitman's Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers
di: Tsuzuki, Yukihiro
Pubblicazione: (2023)

A Two-layer Stochastic Game Approach to Reinsurance Contracting and Competition
di: Liang, Zongxia, et al.
Pubblicazione: (2024)

Combined Mutiplicative-Heston Model for Stochastic Volatility
di: Moghaddam, M. Dashti, et al.
Pubblicazione: (2018)

Rough PDEs for Local Stochastic Volatility Models
di: Peter Bank, et al.
Pubblicazione: (2025)

Modelling Uncertain Volatility Using Quantum Stochastic Calculus: Unitary vs Non-Unitary Time Evolution
di: Hicks, Will
Pubblicazione: (2024)

Stochastic Volatility Model with Sticky Drawdown and Drawup Processes: A Deep Learning Approach
di: Liu, Yuhao, et al.
Pubblicazione: (2025)

Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
di: Cozma, Andrei, et al.
Pubblicazione: (2017)

Polar Coordinates for the 3/2 Stochastic Volatility Model
di: Paul Nekoranik
Pubblicazione: (2025)

Automated Market Makers: A Stochastic Optimization Approach for Profitable Liquidity Concentration
di: Zeller, Simon Caspar, et al.
Pubblicazione: (2025)

Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
di: He, Jian, et al.
Pubblicazione: (2025)

Understanding Short-Term Implied Volatility Dynamics: A Model-Independent Approach Beyond Stochastic Volatility
di: Cheng, Liexin, et al.
Pubblicazione: (2024)

Calibration of Local-Stochastic and Path-Dependent Volatility Models to Vanilla and No-Touch Options
di: Bain, Alan, et al.
Pubblicazione: (2019)

A Malliavin Calculus Approach to Backward Stochastic Volterra Integral Equations
di: Lei, Qian, et al.
Pubblicazione: (2024)

Rough Path Approaches to Stochastic Control, Filtering, and Stopping
di: Mavroforas, Jonathan A., et al.
Pubblicazione: (2025)

Navigating Supply Shocks: Sector Resilience and Production Prices Through Stochastic Input–Output Modeling
di: Giovanni Amici, et al.
Pubblicazione: (2026)

Heterogenous Macro-Finance Model: A Mean-field Game Approach
di: Vu, Hoang, et al.
Pubblicazione: (2025)

Semiclassical CEV Option Pricing Model: an Analytical Approach
di: Capitán, Jose A., et al.
Pubblicazione: (2024)

Unwinding Stochastic Order Flow: When to Warehouse Trades
di: Marcel Nutz, et al.
Pubblicazione: (2025)

Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing
di: Qiu, Jinniao, et al.
Pubblicazione: (2024)

Generalized measure Black-Scholes equation: Towards option self-similar pricing
di: Riane, Nizar, et al.
Pubblicazione: (2024)

Eigen Portfolios: From Single Component Models to Ensemble Approaches
di: Zhou, ZhengXiang, et al.
Pubblicazione: (2025)