Review on the structural approach of the Black-Scholes model
Black-Scholes model developed in 1973 has become one of the important concepts in modern financial theory. This model is regarded as one of the best ways in determining fair prices of the options. Many studies have been done to improve the performance of the Black-Scholes model since this model is b...
| Published in: | AIP Conference Proceedings |
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| Format: | Conference paper |
| Language: | English |
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American Institute of Physics Inc.
2015
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| Online Access: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85006235026&doi=10.1063%2f1.4915717&partnerID=40&md5=e5174e1e8d08d79461a7aa76dcbe13e0 |
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2-s2.0-85006235026 Saad S.; Jaffar M.M. Review on the structural approach of the Black-Scholes model 2015 AIP Conference Proceedings 1660 10.1063/1.4915717 https://www.scopus.com/inward/record.uri?eid=2-s2.0-85006235026&doi=10.1063%2f1.4915717&partnerID=40&md5=e5174e1e8d08d79461a7aa76dcbe13e0 Black-Scholes model developed in 1973 has become one of the important concepts in modern financial theory. This model is regarded as one of the best ways in determining fair prices of the options. Many studies have been done to improve the performance of the Black-Scholes model since this model is built with few limitations. Thus, the objective of this review paper is to discuss on the Black-Scholes model. The aim of this review paper is to present the derivation of Black-Scholes, Merton and KMV-Merton models. Besides, it provides a literature review on the modifications done by the researchers on the Black-Scholes model. © 2015 AIP Publishing LLC. American Institute of Physics Inc. 0094243X English Conference paper |
| author |
Saad S.; Jaffar M.M. |
| spellingShingle |
Saad S.; Jaffar M.M. Review on the structural approach of the Black-Scholes model |
| author_facet |
Saad S.; Jaffar M.M. |
| author_sort |
Saad S.; Jaffar M.M. |
| title |
Review on the structural approach of the Black-Scholes model |
| title_short |
Review on the structural approach of the Black-Scholes model |
| title_full |
Review on the structural approach of the Black-Scholes model |
| title_fullStr |
Review on the structural approach of the Black-Scholes model |
| title_full_unstemmed |
Review on the structural approach of the Black-Scholes model |
| title_sort |
Review on the structural approach of the Black-Scholes model |
| publishDate |
2015 |
| container_title |
AIP Conference Proceedings |
| container_volume |
1660 |
| container_issue |
|
| doi_str_mv |
10.1063/1.4915717 |
| url |
https://www.scopus.com/inward/record.uri?eid=2-s2.0-85006235026&doi=10.1063%2f1.4915717&partnerID=40&md5=e5174e1e8d08d79461a7aa76dcbe13e0 |
| description |
Black-Scholes model developed in 1973 has become one of the important concepts in modern financial theory. This model is regarded as one of the best ways in determining fair prices of the options. Many studies have been done to improve the performance of the Black-Scholes model since this model is built with few limitations. Thus, the objective of this review paper is to discuss on the Black-Scholes model. The aim of this review paper is to present the derivation of Black-Scholes, Merton and KMV-Merton models. Besides, it provides a literature review on the modifications done by the researchers on the Black-Scholes model. © 2015 AIP Publishing LLC. |
| publisher |
American Institute of Physics Inc. |
| issn |
0094243X |
| language |
English |
| format |
Conference paper |
| accesstype |
|
| record_format |
scopus |
| collection |
Scopus |
| _version_ |
1820775477378285568 |