BSM model for the generalized ML-Payoff

• Autorzy: Ghevariya S. J. , Thakkar D. R.

Identyfikatory

DOI

10.17512/jamcm.2019.4.02

• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

BSM model; Black-Scholes-Merton model; plain vanilla payoff; ML-Payoff; Generalized ML-Payoff

PL

model BSM; model Blacka-Scholesa-Mertona; ML-Payoff; prosta wypłata waniliowa

• Wydawca: Wydawnictwo Politechniki Częstochowskiej
• Czasopismo: Journal of Applied Mathematics and Computational Mechanics
• Rocznik: 2019
• Tom: Vol. 18, nr 4
• Strony: 19--25
• Opis fizyczny: Bibliogr. 8 poz., rys.

Twórcy

autor

Ghevariya S. J.

• Department of Mathematics, Sardar Patel University Vallabh Vidyanagar, India

autor

Thakkar D. R.

• Department of Mathematics, Sardar Patel University Vallabh Vidyanagar, India

Bibliografia

• [1] Haug, E.G. (2007). The Complete Guide to Option Pricing Formulas. 2nd ed., McGraw-Hill.
• [2] Dedania, H.V., & Ghevariya, S.J. (2013). Option pricing formula for modified log-Payoff function. International Journal of Mathematics and Soft Computing, 3(2), 129-140.
• [3] Ghevariya, S.J. (2018). BSM European put option pricing formula for ML-Payoff function with Mellin transform. Int. Jr. of Mathematics and Its Applications, 6(2), 33-36.
• [4] Ghevariya, S.J. (2019). An improved Mellin tranform approach to BSM formula of ML-Payoff function. Journal of Interdisciplinary Mathematics. Taylor and Francis Group (accepted).
• [5] Ghevariya, S.J. (2019). BSM model for ML-Payoff function through PDTM. Asian-European Journal of Mathematics. World Scientific Publisher, To apear.
• [6] Wilmott, P. (2006). Paul Wilmott on Quantitative Finance. 2nd ed., John Wiley & Sons.
• [7] Wilmott, P., Howison, S., & Dewynne, J. (2002). Mathematics of Financial Derivatives. Cambridge University Press.
• [8] Dedania, H.V., & Ghevariya, S.J. (2017). Graphical interpretation of various BSM formulas. Global Journal of Pure and Applied Mathematics, 13(9), 6107-6112.

Uwagi

Opracowanie rekordu ze środków MNiSW, umowa Nr 461252 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2020).