- Tytuł:
- BSM model for the generalized ML-Payoff
- Autorzy:
-
Ghevariya, S. J.
Thakkar, D. R. - Powiązania:
- https://bibliotekanauki.pl/articles/122415.pdf
- Data publikacji:
- 2019
- Wydawca:
- Politechnika Częstochowska. Wydawnictwo Politechniki Częstochowskiej
- Tematy:
-
BSM model
Black-Scholes-Merton model
plain vanilla payoff
ML-Payoff
Generalized ML-Payoff
model BSM
model Blacka-Scholesa-Mertona
prosta wypłata waniliowa - Opis:
- The Black-Scholes-Merton (BSM) model for the modified log payoff (ML-Payoff) function has been derived by Denania and Ghevariya. This paper focuses on the derivation of the BSM model for the Generalized ML-Payoff function. The objective of this paper is the derivation of the BSM model which is quite close to the celebrated BSM model for the plain vanilla payoff function. Note that Paul Wilmott’s BSM model of log payoff has become a special case of this model.
- Źródło:
-
Journal of Applied Mathematics and Computational Mechanics; 2019, 18, 4; 19-25
2299-9965 - Pojawia się w:
- Journal of Applied Mathematics and Computational Mechanics
- Dostawca treści:
- Biblioteka Nauki
Artykuł